Cointegration and error correction

By James Davidson. 2013

583 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f68ea56c160c2f9e425d0eb2244e29113d605b98

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Peter M. Robinson
2. Qiwei Yao
3. Rongmao Zhang
4. Katsumi Shimotsu
5. Morten Ørregaard Nielsen
6. Ngai Hang Chan
7. Liangjun Su
8. Boris Buchmann

In Finance

1. Qiwei Yao
2. Rongmao Zhang
3. Peter M. Robinson
4. Morten Ørregaard Nielsen
5. Katsumi Shimotsu
6. Ngai Hang Chan
7. S. Ling
8. Liudas Giraitis

Citations in the corpus

• Identifying Cointegration by Eigenanalysis (2015, methodology): “Please go towww.tandfonline.com/r/JASA. the data have been developed, starting from Engle and Granger (1987) and Johansen (1991), in their parametric, unit root vector autoregressive (VAR) setting, and continuing with, for example, Saikkonen and Lütkepohl (2000) and Aznar and Salvador (2002).”