This paper investigates Granger noncausality and the cointegrating relation between two time series in the Hilbert space framework+ This framework allows us to analyze the relationship between cointegration and distance between two information sets+ In particular, we prove that if two variables, X and Y, are cointegrated, then the distance between two information sets, concerning the differenced series DX and DY, must be less than the standard deviation of DX+
Cointegration and distance between Information Sets
TRIACCA, UMBERTO
2000-01-01
Abstract
This paper investigates Granger noncausality and the cointegrating relation between two time series in the Hilbert space framework+ This framework allows us to analyze the relationship between cointegration and distance between two information sets+ In particular, we prove that if two variables, X and Y, are cointegrated, then the distance between two information sets, concerning the differenced series DX and DY, must be less than the standard deviation of DX+File in questo prodotto:
Non ci sono file associati a questo prodotto.
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
