Deterministic Dynamics and Cointegration of Higher Orders

Antoine d'Autume (1)

1 EUREQUA - Equipe Universitaire de Recherche en Economie Quantitative

We offer a new method to characterized cointegration properties of higher orders. This method relies on a very simple device. We first examine the question in a deterministic framework, where cointegration porperties pertains to rate of growth. We relate these properties to the structure of the Jordan matrice associated with the model. We then show how they transpose to a stochastic framework and we recover properties derived by Johansen and others.

Mots clés: Deterministic Dynamics; Cointegration of Higher Orders

Domaines: Economies et finances

Antoine d'Autume. Deterministic Dynamics and Cointegration of Higher Orders. 1992. ⟨halshs-00452595⟩