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Cointegration and distance between differenced processes

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  • Umberto Triacca

    ()

Abstract

In this note, it is argued that cointegration augments the distance between the differenced series. If two series, x t and y t , are integrated of order one and cointegrated and v t and w t are integrated of order one but not cointegrated then, under certain conditions, the distance between Δx t and Δy t is more than the distance between Δv t and Δw t . Copyright Springer Science+Business Media B.V. 2012

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File URL: http://hdl.handle.net/10.1007/s11135-011-9477-2
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Bibliographic Info

Article provided by Springer in its journal Quality & Quantity.

Volume (Year): 46 (2012)
Issue (Month): 6 (October)
Pages: 1953-1957

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Handle: RePEc:spr:qualqt:v:46:y:2012:i:6:p:1953-1957

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Web page: http://www.springer.com/economics/journal/11135

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Related research

Keywords: Cointegration; Distance; Time series; Vector autoregressive model;

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  1. Zinde-Walsh, Victoria, 1990. "The consequences of misspecification in time series processes," Economics Letters, Elsevier, vol. 32(3), pages 237-241, March.
  2. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
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