There is a new book by Davidson "Econometric Theory". His treatment of
unit-root/cointegration econometrics is very clear and easy to follow.
On Sun, 28 Oct 2001, David B wrote:
> > >The regression equation with iid errors implies cointegration of the two
> > >series.
> >
> > Yes, but not vice versa. So the quoted passage may be referring to a more
> > general case.
>
> Yes, you are right. I unhappily figured it out just after having post it. I
> tried to reread this book but it is really too harsh for me (and besides is
> not very well written imho).
>
> > You could look at section 8.2, entitled "Ordinary least squares under
> > more general conditions", of Time Series Analysis, by J. D. Hamilton.
> > Section 8.3 might be of interest too.
>
> I don't have yet this (well-known) book, but I note this reference ; thanks
> for it.
>
> David B
>
>
>
>
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