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A Characterization Of Cointegration

Dhrymes, Phoebus J.

In this paper we provide a succinct characterization of cointegration
and a criterion that leads to a novel, and very simple
test for cointegration. We also provide a restatement and proof
of the characterizations given in Engle and Granger (1987) (EG),
correcting a number of minor errors and misstatements.

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More About This Work

Academic Units
Economics
Publisher
Department of Economics, Columbia University
Series
Department of Economics Discussion Papers, 698
Published Here
February 28, 2011

Notes

June 1994.