Article ID: | iaor19961479 |
Country: | Belgium |
Volume: | 36 |
Start Page Number: | 143 |
End Page Number: | 151 |
Publication Date: | Sep 1994 |
Journal: | Cahiers du Centre d'tudes de Recherche Oprationnelle |
Authors: | Flores Renato G. |
Keywords: | economics, finance & banking |
This paper discusses the fact that, for many common situations involving processes which have an ARIMA representation, cointegration relationships cannot hold. In particular, efficient markets cannot cointegrate. As a main consequence, greater care should be taken both before using the existing cointegration tests-whose robustness, as known, is not very high-and, most importantly, before choosing the adequate model for the series at stake.