1995 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 which is related to the one proposed in Engle and Granger (1987) (EG).
Subjects
Files
- econ_9495_747.pdf application/pdf 1.12 MB Download File
More About This Work
- Academic Units
- Economics
- Publisher
- Department of Economics, Columbia University
- Series
- Department of Economics Discussion Papers, 747
- Published Here
- March 2, 2011
Notes
October 1995