If x and y are cointegrated, and too y and z, does this mean x and z are also cointregrated

by Zarina Akhtar   Last Updated May 28, 2018 10:19 AM

Cointegration question.

If x and y are cointegrated, and too y and z, does this mean x and z are also cointregrated.

x, y and z are I(1), the linear combination of x,y is I(0), and the linear combination of y,z is also I(0),

So will the linear combination of x and z also be I(0) and hence cointegrated.

Tags : time-series


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