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Hidden Cointegration

Author

Listed:
  • Granger, Clive W.J.
  • YOON, GAWON

Abstract

Possibly hitherto unnoticed cointegrating relationships among integrated components of data series are identified. If the components are cointegrated, the data are said to ahve hidden cointegration. The implication of hidden cointegration on modeling data series themselves is discussed throughwhat we call crouching error correction models. We show that hidden cointegration is a simple example of nonlinear cointegration. Economic examples are provided with U.S. short-term and long-term interest rates and output and unemployment, for which no evidence of standard cointegration is found.

Suggested Citation

  • Granger, Clive W.J. & YOON, GAWON, 2002. "Hidden Cointegration," University of California at San Diego, Economics Working Paper Series qt9qn5f61j, Department of Economics, UC San Diego.
    • Handle: RePEc:cdl:ucsdec:qt9qn5f61j
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