EconPapers    
Economics at your fingertips  
 

Hidden Cointegration

Clive Granger and Gawon Yoon

University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego

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.

Keywords: hidden cointegration; crouching error correction models; shocks; interest rates; hysteresis of unemployment (search for similar items in EconPapers)
Date: 2002-01-01
References: Add references at CitEc
Citations: View citations in EconPapers (138)

Downloads: (external link)
https://www.escholarship.org/uc/item/9qn5f61j.pdf;origin=repeccitec (application/pdf)

Related works:
Working Paper: Hidden Cointegration (2002) Downloads
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: https://EconPapers.repec.org/RePEc:cdl:ucsdec:qt9qn5f61j

Access Statistics for this paper

More papers in University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego Contact information at EDIRC.
Bibliographic data for series maintained by Lisa Schiff ().

 
Page updated 2025-03-19
Handle: RePEc:cdl:ucsdec:qt9qn5f61j