Institute of Mathematical Statistics Lecture Notes - Monograph Series

A simple proof of a condition for cointegration

T. W. Anderson

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Abstract

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

Chapter information

Source
Anirban DasGupta, ed., A Festschrift for Herman Rubin (Beachwood, Ohio, USA: Institute of Mathematical Statistics, 2004), 378-384

Dates
First available in Project Euclid: 28 November 2007

Permanent link to this document
https://projecteuclid.org/euclid.lnms/1196285405

Digital Object Identifier
doi:10.1214/lnms/1196285405

Mathematical Reviews number (MathSciNet)
MR2126912

Zentralblatt MATH identifier
1268.62104

Subjects
Primary: 62P20: Applications to economics [See also 91Bxx]
Secondary: 60G12: General second-order processes

Keywords
autoregressive process error correction form stationarity

Rights
Copyright © 2004, Institute of Mathematical Statistics

Citation

Anderson, T. W. A simple proof of a condition for cointegration. A Festschrift for Herman Rubin, 378--384, Institute of Mathematical Statistics, Beachwood, Ohio, USA, 2004. doi:10.1214/lnms/1196285405. https://projecteuclid.org/euclid.lnms/1196285405


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