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Cointegration and error-correction: Representation, estimation, and testing

Cointegration and error-correction: Representation, estimation, and testing,R. E. Engle,C. W. J. Granger

Cointegration and error-correction: Representation, estimation, and testing   (Citations: 4207)
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Published in 1987.
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    • ...Standard time series techniques of (iii) Hendry's General to Specific (GETS), (iv) Engle and Granger's (1987) two step method (EG), (v) Phillips and Hansen's (1990) Fully Modified Ordinary Least Squares (FMOLS) and (vi) Two Stage Least Squares (2SLS) are then applied to conduct sub-sample period estimations...

    Saten Kumaret al. Australasian money demand stability: application of structural break t...

    • ...Engle and Granger (1987) cautions that the Granger causality test conducted in the first‐differences variables by means of a Vector Autoregression (VAR), will be misleading in the presence of cointegration...

    Yaobin Liu. Economic growth drag in the Central China: evidence from a panel analy...

    • ...Leybourne and Newbold (2003) demonstrated that, in the presence of the first type of structural breaks for independent integrated processes, commonly employed cointegration tests which take no account of any break, such as that of Engle and Granger (1987), suffer from spurious rejection of the null of no cointegration...

    Pui Sun Tam. Size properties of Lagrange Multiplier cointegration tests in the pres...

    • ...Nonetheless, non-stationary variables may exhibit cointegration, contain a common trend (Granger 1986; Engle and Granger 1987)...

    Rangan Guptaet al. The Time-Series Properties of House Prices: A Case Study of the Southe...

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