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COINTEGRATION AND DISTANCE BETWEEN INFORMATION SETS

Published online by Cambridge University Press:  01 February 2000

Umberto Triacca
Umberto Triacca
Affiliation:
Istituto Nazionale di Statistica
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Abstract

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This paper investigates Granger noncausality and the cointegrating relation between two time series in the Hilbert space framework. This framework allows us to analyze the relationship between cointegration and distance between two information sets. In particular, we prove that if two variables, X and Y, are cointegrated, then the distance between two information sets, concerning the differenced series ΔX and ΔY, must be less than the standard deviation of ΔX.

Type
Research Article
Information
Econometric Theory , Volume 16 , Issue 1 , February 2000 , pp. 102 - 111
Copyright
© 2000 Cambridge University Press