Deterministic Dynamics and Cointegration of Higher Orders

Antoine d'Autume

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: 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.

Keywords: Deterministic Dynamics; Cointegration of Higher Orders (search for similar items in EconPapers)
Date: 1992
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Published in 1992

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Working Paper: Deterministic Dynamics and Cointegration of Higher Orders (1992)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00452595

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