Academic Commons

Reports

A Characterization Of Cointegration

Dhrymes, Phoebus J.

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.

Subjects

Files

More About This Work

Academic Units
Economics
Publisher
Department of Economics, Columbia University
Series
Department of Economics Discussion Papers, 659
Published Here
February 25, 2011

Notes

August 1993.

Academic Commons provides global access to research and scholarship produced at Columbia University, Barnard College, Teachers College, Union Theological Seminary and Jewish Theological Seminary. Academic Commons is managed by the Columbia University Libraries.