The Making of "Estimation of Common Long-Memory Components in Cointegrated Systems"

By J. Gonzalo. 2010

1,340 citations recorded by the source corpus.

The eighties were very good years for music as well as econometrics. In time-series econometrics, the ﬁrst half of that decade was dominated by research onunit roots while cointegration was the queen of the second half. Estimation andtesting of a cointegrated system were the key questions to answer.When I started my dissertation at the end of the eighties, under the super-vision of Clive Granger and Robert Engle, you could sense that everyone was ofthe opinion that the testing problem of the cointegration rank had been solvedby Johansen (1988). Johansen applied reduced rank regression techniques to thefollowing error correction model (ECM) (Granger’s old notation is used to keepthe spirit of the eighties)Δ

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a3f7b5324308fc35cfcc490d78138ef227dac124

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Citations in the corpus

Credit Spreads: An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS (2009, background): “Depending on whether we are concerned with Model I, II, or III, some restrictions will apply to this general representation: Gonzalo and Granger (1995) (GG).”
The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis (2009, positive): “The GonzaloGranger measure [see Gonzalo and Granger (1995)], defined as GG = λ2 / (λ2 - λ1) with λ1 ≠ λ2, indicates which of both markets contributes more to price discovery.”
Trading and Pricing in Upstairs and Downstairs Stock Markets (2002, methodology): “According to the Gonzalo and Granger (1995) test results, this is not the case for five stocks.”
Trend Filtering Methods for Momentum Strategies (2011, background): “Gonzalo and Granger (1995) suggest defining a permanent-transitory (P-T) decomposition: yt = Pt + Tt such that the permanent component Pt is difference stationary, the transitory component Tt is covariance stationary and (∆Pt, Tt) satisfies a constrained autoregressive representation.”
Extracting a common stochastic trend: Theory with some applications (2009, methodology): “The PT decomposition proposed by Park (1990) and Gonzalo and Granger (1995) is particularly appealing in our context.”
What Do Price Discovery Metrics Really Measure (2013, methodology): “Importantly, Gonzalo and Granger (1995) show that the permanent component is a linear combination of all variables in the cointegration system (all the price series).”
Risk and return: Long-run relations, fractional cointegration, and return predictability $ (2013, background): “16 Following Gonzalo and Granger (1995), the permanent and”
Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis (2011, methodology): “Besides the analysis of common factor measures as suggested by Schwarz and Szakmary (1994), Gonzalo and Granger (1995) and Hasbrouck (1995) to reveal the long-run price discovery process, we also investigate the short-run causality structure by means of Granger-causality tests.”
Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues (2006, neutral): “Gylfason (2002) argues that abundant natural resources may lead to sluggish long-term growth because of (1) ill-defined property rights, imperfect or missing markets and lax legal structures in many developing countries and emerging market economies; (2) the fight for resource rents and the concentr”
Measures of Contributions to Price Discovery: A Comparison (2002, methodology): “vector t. This goes back to the motivation of the Gonzalo and Granger (1995)”