Hidden Cointegration

Clive W. J. Granger and Gawon Yoon
Additional contact information
Gawon Yoon: Pusan National University

No 92, Royal Economic Society Annual Conference 2002 from Royal Economic Society

Abstract: Possibly hitherto unnoticed cointegrating relationships among integrated components of data series are identified. If the components are cointegrated, the data are said to have hidden cointegration. The implication of hidden cointegration on modeling data series themselves is discussed through what 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.

New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2002-08-29
View citations in EconPapers

Downloads: (external link)
http://repec.org/res2002/Granger.pdf full text

Related works:
Working Paper: Hidden Cointegration (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ecj:ac2002:92

Access Statistics for this paper

More papers in Royal Economic Society Annual Conference 2002 from Royal Economic Society
Contact information at EDIRC.
Series data maintained by Christopher F. Baum ().