> >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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