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+
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11697/19329
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