A Characterization Of Cointegration
In this paper we revisit the definition and characterization of cointegration given in Engle and Granger (1987) (EG). In addition to correcting a number of errors and mistatements in that paper, we redefine the meaning of cointegration in the context of a MAR ( ) (multivariate AR) rendition of the stochastic sequence, rather than the MMA ( ) rendition of differenced sequence as in EG.
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