Cointegration and distance between differenced processes

被引：0
|
作者：
Umberto Triacca
机构：
[1] University of L’Aquila,Department of Economics
来源：
Quality & Quantity | 2012年 / 46卷
关键词：
Cointegration; Distance; Time series; Vector autoregressive model;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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 Δxt and Δyt is more than the distance between Δvt and Δwt.
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页码：1953 / 1957
页数：4
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