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

Detalhes bibliográficos
Autor(a) principal: Flôres Junior, Renato Galvão
Data de Publicação: 1997
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/12190
Resumo: 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 matrices of the respective processes in differences, i.e., a metric which takes into account only the information in the (centred) second moments. The result may explain why in practice cointegration is found a bit 'too often'. Examples developing this point and simulations giving an insight on the metric used are also presented.
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spelling Flôres Junior, Renato GalvãoEscolas::EPGEFGV2014-10-23T10:31:38Z2014-10-23T10:31:38Z1997-10-16http://hdl.handle.net/10438/12190We 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 matrices of the respective processes in differences, i.e., a metric which takes into account only the information in the (centred) second moments. The result may explain why in practice cointegration is found a bit 'too often'. Examples developing this point and simulations giving an insight on the metric used are also presented.engEscola de Pós-Graduação em Economia da FGVSeminários de pesquisa econômica da EPGETodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessTo cointegrate or not to cointegrate? 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dc.title.eng.fl_str_mv To cointegrate or not to cointegrate? That's a topological question
title To cointegrate or not to cointegrate? That's a topological question
spellingShingle To cointegrate or not to cointegrate? That's a topological question
Flôres Junior, Renato Galvão
Economia
Cointegração
Econometria
title_short To cointegrate or not to cointegrate? That's a topological question
title_full To cointegrate or not to cointegrate? That's a topological question
title_fullStr To cointegrate or not to cointegrate? That's a topological question
title_full_unstemmed To cointegrate or not to cointegrate? That's a topological question
title_sort To cointegrate or not to cointegrate? That's a topological question
author Flôres Junior, Renato Galvão
author_facet Flôres Junior, Renato Galvão
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Flôres Junior, Renato Galvão
dc.subject.area.por.fl_str_mv Economia
topic Economia
Cointegração
Econometria
dc.subject.bibliodata.por.fl_str_mv Cointegração
Econometria
description 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 matrices of the respective processes in differences, i.e., a metric which takes into account only the information in the (centred) second moments. The result may explain why in practice cointegration is found a bit 'too often'. Examples developing this point and simulations giving an insight on the metric used are also presented.
publishDate 1997
dc.date.issued.fl_str_mv 1997-10-16
dc.date.accessioned.fl_str_mv 2014-10-23T10:31:38Z
dc.date.available.fl_str_mv 2014-10-23T10:31:38Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/12190
url http://hdl.handle.net/10438/12190
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv Seminários de pesquisa econômica da EPGE
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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collection Repositório Institucional do FGV (FGV Repositório Digital)
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