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 .
Quality & Quantity – Springer Journals
Published: Mar 11, 2011
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