Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Title "To cointegrate or not to cointegrate? That's a topological question"

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    • To cointegrate or not to cointegrate? That's a topological question 

      Flôres Junior, Renato Galvão
      1997-10-16
      We show that for any multivariate I( 1) process which does not cointegrate, it is possible to find another process sufficient1y elose to it where cointegration applies. Closeness is defined in terms of the spectral density ...