计量金融学国外课堂课件10.ppt

* Lecture 5b Cointegration ‘Introductory Econometrics for Finance’ ? Chris Brooks 2008 Cointegration: An Introduction In most cases, if we combine two variables which are I(1), then the combination will also be I(1). More generally, if we combine variables with differing orders of integration, the combination will have an order of integration equal to the largest. i.e., if Xi,t ? I(di) for i = 1,2,3,...,k so we have k variables each integrated of order di. Let (1) Then zt ? I(max di) ‘Introductory Econometrics for Finance’ ? Chris Brooks 2008 Definition of Cointegrat