In this note, it is argued that cointegration augments the distance between the differenced series. If two series, xt and yt , are integrated of order one and cointegrated and vt and wt are integrated of order one but not cointegrated then, under certain conditions, the distance between xt and yt is more than the distance between vt and wt .
Cointegration and distance between differenced processes
TRIACCA, UMBERTO
2012-01-01
Abstract
In this note, it is argued that cointegration augments the distance between the differenced series. If two series, xt and yt , are integrated of order one and cointegrated and vt and wt are integrated of order one but not cointegrated then, under certain conditions, the distance between xt and yt is more than the distance between vt and wt .File in questo prodotto:
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