A simple proof of a condition for cointegration
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Institute of Mathematical Statistics Lecture Notes - Monograph Series

A simple proof of a condition for cointegration

T. W. Anderson

Source: Anirban DasGupta, ed., A Festschrift for Herman Rubin (Beachwood, Ohio, USA: Institute of Mathematical Statistics, 2004), 378-384.

Abstract

A simple proof is given for a theorem concerning the first difference and some linear functions of a cointegrated autoregressive process being stationary.

Primary Subjects: 62P20
Secondary Subjects: 60G12
Keywords: autoregressive process; error correction form; stationarity

Full-text: Open access

Links and Identifiers

Permanent link to this document: http://projecteuclid.org/euclid.lnms/1196285405
Mathematical Reviews (MathSciNet): MR2126912

Digital Object Identifier: doi:10.1214/lnms/1196285405

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2009 © Institute of Mathematical Statistics

Institute of Mathematical Statistics Lecture Notes - Monograph Series

Institute of Mathematical Statistics Lecture Notes - Monograph Series