Co-integration and error correction: representation, estimation and testing

@article{Engle1987CointegrationAE,
  title={Co-integration and error correction: representation, estimation and testing},
  author={Robert F. Engle and Clive William John Granger},
  journal={Econometrica},
  year={1987},
  volume={55},
  pages={251-276}
}
The relationship between cointegration and error correction models, first suggested by Granger, is here extended and used to develop estimation procedures, tests, and empirical examples. A vector of time series is said to be cointegrated with cointegrating vector a if each element is stationary only after differencing while linear combinations a8xt are themselves stationary. A representation theorem connects the moving average , autoregressive, and error correction representations for… 

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