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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 which is related to the one proposed in Engle and Granger (1987) (EG).

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Academic Units
Economics
Publisher
Department of Economics, Columbia University
Series
Department of Economics Discussion Papers, 747
Published Here
March 2, 2011

Notes

October 1995

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