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Cointegration and distance between differenced processesQuality & Quantity, 46
- Publisher
- Springer Journals
- 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
- DOI
- 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 & Quantity – Springer Journals
Published: Mar 11, 2011