The Johansen Test and the Transitivity Property

Montserrat Ferré

Economics Bulletin, 2004, vol. 3, issue 27, 1-7

Abstract: Sometimes two variables Y and Z are each cointegrated with another variable X, but Y and Z do not appear to be cointegrated with each other. This article provides a possible explanation why this might happen.

Keywords: cointegration (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2004-07-25
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Citations: View citations in EconPapers (3)

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