The NY Times piece does an absolute hatchet job to the concept of non-stationarity and cointegration and incorrectly asserts that Robert Engle was awarded the nobel prize for his work on cointegration. In fact, from Professor Engle's webpage:
"The Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel 2003 for methods of analyzing economic time series with time-varying volatility (ARCH)."
The NY Times piece does an absolute hatchet job to the concept of non-stationarity and cointegration and incorrectly asserts that Robert Engle was awarded the nobel prize for his work on cointegration. In fact, from Professor Engle's webpage:
ReplyDelete"The Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel 2003 for methods of analyzing economic time series with time-varying volatility (ARCH)."