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

Véronique Meuriot ()

Cahiers d’économie politique / Papers in Political Economy, 2015, issue 68, 91-118

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.

Keywords: Time series; cointegration; economic methodology; history of the econometrics; David Hendry. (search for similar items in EconPapers)
Date: 2015
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