The concept of cointegration: the decisive meeting between Hendry and Granger (1975)

Abstract

Le concept de cointégration est reconnu par la communauté internationale depuis l’article de 1987, signé Engle et Granger et publié dans Econometrica . Cependant, la cointégration n’aurait pu voir le jour sans la rencontre entre Hendry et Granger en novembre 1975. Le rôle de Hendry est passé sous silence dans la littérature économique alors qu’il est le lien entre les travaux de Sargan – qui conduiront aux modèles à correction d’erreur – et ceux de Granger sur les régressions fallacieuses. Cette liaison sera réalisée par l’analyse de la cointégration. Nous étudions l’histoire de la cointegration avant 1987, particulièrement le rôle joué par Hendry qui reliera les différents travaux sur l’irrégularité de l’erreur au cours de deux périodes.

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“…Thus, the non-stationarity series is assumed to be cointegrated when a static linear combination occurs. Therefore, a longitudinal equilibrium association between the variables can be understood as a stationary linear combination [ 140 , 141 ]. When using panel data, co-integration testing is employed to assess whether a cluster of non-stationarity series is cointegrated or otherwise [ 129 , 130 , 141 ].…”

“…Therefore, a longitudinal equilibrium association between the variables can be understood as a stationary linear combination [ 140 , 141 ]. When using panel data, co-integration testing is employed to assess whether a cluster of non-stationarity series is cointegrated or otherwise [ 129 , 130 , 141 ]. In an econometric analysis, the evaluation of longitudinal connections has usually been the subject meriting substantial investigation.…”

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“…The validation of the cointegration process in a pair of time series leads to the conclusion that they share common stochastic trends (Enders, 2014). Two integrated variables can generate linear combination which finally is stationary, and the pair of time series share the same long-term behaviour conducted by the same economic forces (Meuriot, 2015).…”

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“…Hendry's role is overlooked in the economic literature, while he is the essential link between Sargan's (1964) work on the formulation of analysis of stationary time series with error correction and that of Granger on spurious and nonsense regressions, which will lead to error correction models. This link will be made by the cointegration analysis (Meuriot 2015). These models have been shown to be very effective for short-term dynamic systems and subject to strong stochastic disturbances, but whose long-term dynamics are also constrained by existing equilibrium relationships in an economy, for example, the relationship between exchange rate and inflation rate, both short-term and long-term (which will be analyzed for illustrative purposes in the next section).…”