Triacca, Umberto - In: Quality & Quantity: International Journal of Methodology 46 (2012) 6, pp. 1953-1957
In this note, it is argued that cointegration augments the distance between the differenced series. If two series, x <Subscript> t </Subscript> and y <Subscript> t </Subscript>, are integrated of order one and cointegrated and v <Subscript> t </Subscript> and w <Subscript> t </Subscript> are integrated of order one but not cointegrated then, under certain conditions, the distance...</subscript></subscript></subscript></subscript>