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http://hdl.handle.net/10016/15930
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| Title: | The making of Estimation of Common Long-Memory Components in Cointegrated Systems |
| Author(s): | Gonzalo, Jesús [jgonzalo] |
| Publisher: | Oxford University Press |
| Issued date: | 24-Mar-2010 |
| Citation: | Journal of Financial Econometrics, 2010, v. 8, n. 2, pp. 174-176 |
| URI: | http://hdl.handle.net/10016/15930 |
| ISSN: | 1479-8409 |
| DOI: | 10.1093/jjfinec/nbq014 |
| Abstract: | The eighties were very good years for music as well as econometrics. In timeseries econometrics, the first half of that decade was dominated by research on unit roots while cointegration was the queen of the second half. Estimation and testing of a cointegrated system were the key questions to answer. When I started my dissertation at the end of the eighties, under the supervision of Clive Granger and Robert Engle, you could sense that everyone was of the opinion that the testing problem of the cointegration rank had been solved by Johansen (1988). |
| Publisher version: | http://dx.doi.org/10.1093/jjfinec/nbq014 |
| Keywords: | Long-memory components
Cointegration |
| Embargo terms: | 2013-03-24 |
| Rights: | © The Author 2010. Published by Oxford University Press. All rights reserved. |
| Appears in Collections: | Economists Online
DE - Artículos de Revistas
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