Time Series Analysis, Cointegration, and Applications

Clive W. J. Granger

No 2003-7, Nobel Prize in Economics documents from Nobel Prize Committee

Abstract: The two prize winners in Economics this year would describe themselves as "Econometricians," so I thought that I should start by explaining that term. One can begin with the ancient subject of Mathematics which is largely concerned with the discovery of relationships between deterministic variables using a rigorous argument. (A deterministic variable is one whose value is known with certainty.) However, by the middle of the last millennium it became clear that some objects were not deterministic, they had to be described with the use of probabilities, so that Mathematics grew a substantial sub-field known as "Statistics." This later became involved with the analysis of data and a number of methods have been developed for data having what may be called "standard properties."

Keywords: time series; cointegration (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2003-12-08

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Related works:
Working Paper: Time Series Analysis, Cointegration, and Applications (2004)
Journal Article: Time Series Analysis, Cointegration, and Applications (2004)
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