As per the definition of co-integration, a system is called co-integrated if that system is integrated (with non zero order) but there exist some linear relationship among the underlying variables which is of order less than "d" (d: the order of the main system.)
Therefore if all your variables are Stationary/Stable then co-integration would not be defined. In fact for any stationary system, finding a linear stationary relationship is trivial as you are applying some stationary operator on stationary variables. Hence you do not need any fancy testing system to prove/disprove the existance of any such linear relationship. HTH _____________________________________________________ Arun Kumar Saha, FRM QUANTITATIVE RISK AND HEDGE CONSULTING SPECIALIST Visit me at: http://in.linkedin.com/in/ArunFRM _______________________________________________ -- View this message in context: http://r.789695.n4.nabble.com/Cointegration-tp3679697p3680046.html Sent from the Rmetrics mailing list archive at Nabble.com. _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
