1994 Reports
A Characterization Of Cointegration
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.
Subjects
Files
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econ_9394_698.pdf application/pdf 1.37 MB Download File
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.