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Cointegration in a historical perspective

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  • Boswijk, H. Peter
  • Franses, Philip Hans
  • van Dijk, Dick

Abstract

We analyse the impact of the Engle and Granger (1987) article by means of its citations over time, and find evidence of a second life starting in the new millennium. Next, we propose a possible explanation of the success of this citation classic. We argue that the conditions for its success were just right at the time of its appearance, because of the growing emphasis on time series properties in econometric modelling, the empirical importance of stochastic trends, the availability of sufficiently long macroeconomic time series, and the availability of personal computers and econometric software for carrying out the new techniques.

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  • Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick, 2010. "Cointegration in a historical perspective," Journal of Econometrics, Elsevier, vol. 158(1), pages 156-159, September.
    • Handle: RePEc:eee:econom:v:158:y:2010:i:1:p:156-159
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    Cited by:

    1. Fragiskos Archontakis & Rocco Mosconi, 2021. "Søren Johansen and Katarina Juselius: A Bibliometric Analysis of Citations through Multivariate Bass Models," Econometrics, MDPI, vol. 9(3), pages 1-28, August.
    2. Escribano, Alvaro & Peña, Daniel & Ruiz, Esther, 2021. "30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1333-1337.

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