Co-Integration : Is it a Property of the Real World?

Co-integration analysis as developed by Granger (1981) has been widely used to test for the existence of equilibrium relationships among economic variables. Trust in the outcome of co-integration tests as an aid in identifying long-run relationships is unfounded because a critical element in the methodology, the so-called co-integrating vector, is not unique, either in sign or magnitude, depending on situations that cannot be identified using data. The answer is therefore: No!

Year of publication:	2022
Authors:	Swamy, P.A.V.B ; von zur Muehlen, Peter ; Mehta, J.S
Publisher:	[S.l.] : SSRN

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10014079959

A service of the