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Robert Engle and Clive Granger: New Spheres of Economic Research (Nobel Prize in Economics 2003)

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  • G. Kantorovich
  • M. Touruntseva

Abstract

This paper is dedicated to the achievements of Robert Engle and Clive Granger which allowed to overcome a serious crisis in macroeconomics and financial market analysis. The main concepts of cointegration theory and different estimation methods of cointegration equations are considered in the first part of the paper. The areas of application of cointegration theory and possible extensions are briefly described as well. The financial time series model with conditional heteroskedastisity is analyzed in the second part of the paper. The main prerequisites of the method suggested by R. Engle are formulated and its extensions and areas of application are defined.

Suggested Citation

  • G. Kantorovich & M. Touruntseva, 2004. "Robert Engle and Clive Granger: New Spheres of Economic Research (Nobel Prize in Economics 2003)," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 1.
    • Handle: RePEc:nos:voprec:y:2004:id:1841
    DOI: 10.32609/0042-8736-2004-1-37-48
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