Cointegration and distance between differenced processes
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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Volume (Year): 46 (2012)
Issue (Month): 6 (October)
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- Zinde-Walsh, Victoria, 1990. "The consequences of misspecification in time series processes," Economics Letters, Elsevier, vol. 32(3), pages 237-241, March.
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
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