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VOL. 45 | 2004 A simple proof of a condition for cointegration

Abstract

A simple proof is given for a theorem concerning the first difference and some linear functions of a cointegrated autoregressive process being stationary.

Information

Published: 1 January 2004
First available in Project Euclid: 28 November 2007

zbMATH: 1268.62104
MathSciNet: MR2126912

Digital Object Identifier: 10.1214/lnms/1196285405

Subjects:
Primary: 62P20
Secondary: 60G12

Rights: Copyright © 2004, Institute of Mathematical Statistics

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Vol. 45 • 1 January 2004
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