Topic
Cointegration
About: Cointegration is a research topic. Over the lifetime, 17130 publications have been published within this topic receiving 506215 citations.
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TL;DR: In this paper, unit roots, cointegration, and structural change are discussed. But the authors focus on unit roots and not on the structural change of the unit root.
Abstract: (2001). Unit Roots, Cointegration, and Structural Change. Journal of the American Statistical Association: Vol. 96, No. 453, pp. 339-355.
857 citations
TL;DR: The authors investigated the causal relations between tourism growth and economic expansion for the Korean economy by using Engle and Granger two-stage approach and a bivariate vector autoregression (VAR) model.
836 citations
TL;DR: In this paper, the authors apply the new heterogeneous panel cointegration technique to re-investigate the long-run comovements and causal relationships between tourism development and economic growth for OECD and non-OECD countries (including those in Asia, Latin America and Sub-Sahara Africa) for the 1990-2002 period.
825 citations
TL;DR: In this article, the authors applied recently developed unit root and cointegration models to determine the appropriate Granger relations between stock prices and exchange rates using recent Asian flu data, and found that data from South Korea are in agreement with the traditional approach.
815 citations
TL;DR: In this article, the authors examined the important case where the unobserved common factors follow unit root processes and could be cointegrated and found that the presence of unit roots does not affect most theoretical results which continue to hold irrespective of the integration and the cointegration properties of the unob-served factors.
801 citations