Cointegration in a historical perspective
We analyse the impact of the Engle and Granger (1987) article by its citations over time, and find evidence of a second life starting in the new millennium. Next, we propose a possible explanation of the success of this citation classic. We argue that the conditions for its success were just right at the time of its appearance, because of the growing emphasis on time-series properties in econometric modelling, the empirical importance of stochastic trends, the availability of sufficiently long macro-economic time series, and the availability of personal computers and econometric software to carry out the new techniques.
|Publisher||Erasmus School of Economics|
|Series||Econometric Institute Research Papers|
|Journal||Report / Econometric Institute, Erasmus University Rotterdam|
Franses, Ph.H.B.F, & van Dijk, D.J.C. (2009). Cointegration in a historical perspective (No. EI 2009-08). Report / Econometric Institute, Erasmus University Rotterdam (pp. 1–18). Erasmus School of Economics. Retrieved from http://hdl.handle.net/1765/15779