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Deterministic Dynamics and Cointegration of Higher Orders

Author

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  • Antoine d'Autume

    (EUREQUA - Equipe Universitaire de Recherche en Economie Quantitative - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

We offer a new method to characterized cointegration properties of higher orders. This method relies on a very simple device. We first examine the question in a deterministic framework, where cointegration porperties pertains to rate of growth. We relate these properties to the structure of the Jordan matrice associated with the model. We then show how they transpose to a stochastic framework and we recover properties derived by Johansen and others.

Suggested Citation

  • Antoine d'Autume, 1992. "Deterministic Dynamics and Cointegration of Higher Orders," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00452595, HAL.
    • Handle: RePEc:hal:cesptp:halshs-00452595
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00452595
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