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Cointegration and distance between differenced processes

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  • Umberto Triacca

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 . Copyright Springer Science+Business Media B.V. 2012

Suggested Citation

  • Umberto Triacca, 2012. "Cointegration and distance between differenced processes," Quality & Quantity: International Journal of Methodology, Springer, vol. 46(6), pages 1953-1957, October.
    • Handle: RePEc:spr:qualqt:v:46:y:2012:i:6:p:1953-1957
    DOI: 10.1007/s11135-011-9477-2
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    References listed on IDEAS

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    1. Zinde-Walsh, Victoria, 1990. "The consequences of misspecification in time series processes," Economics Letters, Elsevier, vol. 32(3), pages 237-241, March.
    2. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
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