Article ID Journal Published Year Pages File Type
9549565 Economics Letters 2005 7 Pages PDF
Abstract
It is well known that in standard I(1) cointegration, the timing of variables in the cointegrating relation does not interfere with the cointegration property, whereas in an I(2) framework, it may. We show that, in a general (fractional) CI(d,b) model, it is the reduction in integration orders, b, implied by cointegration that determines whether timing matters, and not the integration order of the observed variables. We also derive implications of noncontemporaneous cointegration in both the time and frequency domains.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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