Hassler, Uwe (contributor); Wolters, Jürgen (contributor) - 2005
’s representation theorem in Engle and Granger (1987). By dif-
ferencing and forming a linear combination of the nonstationary data, all … are deflned in an obvious manner.
Since the work by Engle and Granger (1987), cointegration of nonstation-
ary processes …). Likelihood Ratio Statistics for Autoregres-
sive Time Series with a Unit Root. Econometrica 49 1057-1072.
Engle, R.F., and C …