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the concept of cointegration: the decisive meeting between hendry and granger (1975)

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  • Véronique Meuriot

Abstract

The concept of cointegration was first recognized by the international community after publication of the seminal article by Engle and Granger in 1987. However, cointegration would not have become a concept without the meeting between Hendry and Granger in November 1975. The role of Hendry had been overlooked in the economic literature whereas he was really the link between Sargan’s work on error correction models and Granger’s studies on spurious regression. We have studied the history of cointegration before 1987, especially the part played by Hendry in connecting different work on the irregularity of error during two periods.

Suggested Citation

  • Véronique Meuriot, 2015. "the concept of cointegration: the decisive meeting between hendry and granger (1975)," Cahiers d’économie politique / Papers in Political Economy, L'Harmattan, issue 68, pages 91-118.
    • Handle: RePEc:cpo:journl:y:2015:i:68:p:91-118
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    Cited by:

    1. PINSHI, Christian P., 2020. "Rethinking Error Correction Model in Macroeconometric Analysis: A Relevant Review," MPRA Paper 102644, University Library of Munich, Germany.
    2. Helmuth Yesid Arias Gomez & Gabriela Antošova, 2023. "Impact of Lockdown Measures on Central-East European Stock Markets: A Cointegration and Granger Causality Analysis of Indices," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 26(1), pages 05-16, December.
    3. Christian P Pinshi, 2021. "Repenser le modèle à correction d'erreurs dans l'analyse macroéconométrique : Une revue," Working Papers hal-03168443, HAL.

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