COINTEGRATION AND DISTANCE BETWEEN INFORMATION SETS

Umberto Triacca ()

Econometric Theory, 2000, vol. 16, issue 1, 102-111

Abstract: This paper investigates Granger noncausality and the cointegrating relation between two time series in the Hilbert space framework. This framework allows us to analyze the relationship between cointegration and distance between two information sets. In particular, we prove that if two variables, X and Y, are cointegrated, then the distance between two information sets, concerning the differenced series ΔX and ΔY, must be less than the standard deviation of ΔX.

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:16:y:2000:i:01:p:102-111_16

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