Deterministic Dynamics and Cointegration of Higher Orders

We offer a new method to characterized cointegration properties of higher orders. This method relies on a very simple device. We first examine the question in a deterministic framework, where cointegration porperties pertains to rate of growth. We relate these properties to the structure of the Jordan matrice associated with the model. We then show how they transpose to a stochastic framework and we recover properties derived by Johansen and others.

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Year of publication:	1992
Authors:	D'Autume, Antoine
Institutions:	HAL
Subject:	Deterministic Dynamics \| Cointegration of Higher Orders

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00452595
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010738575