Cointegration and distance between differenced processes

Cointegration and distance between differenced processes In this note, it is argued that cointegration augments the distance between the differenced series. If two series, x t and y t , are integrated of order one and cointegrated and v t and w t are integrated of order one but not cointegrated then, under certain conditions, the distance between Δx t and Δy t is more than the distance between Δv t and Δw t . http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Quality & Quantity Springer Journals

Cointegration and distance between differenced processes

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Publisher
Springer Netherlands
Copyright
Copyright © 2011 by Springer Science+Business Media B.V.
Subject
Social Sciences; Methodology of the Social Sciences; Social Sciences, general
ISSN
0033-5177
eISSN
1573-7845
D.O.I.
10.1007/s11135-011-9477-2
Publisher site
See Article on Publisher Site

Abstract

In this note, it is argued that cointegration augments the distance between the differenced series. If two series, x t and y t , are integrated of order one and cointegrated and v t and w t are integrated of order one but not cointegrated then, under certain conditions, the distance between Δx t and Δy t is more than the distance between Δv t and Δw t .

Journal

Quality & QuantitySpringer Journals

Published: Mar 11, 2011

References

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