C.W.J. Granger
University of California San Diego
1 paper in the Anchorcite directory, published in 1987, cited 32,225 times in total.
Research topics
- Monetary Policy and Economic Impact · 1 paper
Frequent co-authors
- Robert F. Engle · 1 paper
Papers
- Co-Integration and Error Correction: Representation, Estimation, and TestingEconometrica · 1987 · 32,225 citations
The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples. If each element of a vector of time series x first achieves stationarity after…
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