• Corpus ID: 11525931

A Drunk, Her Dog and A Boyfriend: An Illustration of Multiple Cointegration and Error Correction

@inproceedings{Smith1994ADH,
  title={A Drunk, Her Dog and A Boyfriend: An Illustration of Multiple Cointegration and Error Correction},
  author={Aaron C.T. Smith and Robin Harrison},
  year={1994}
}
Canterbury, Private Bag 4800, Christchurch, New Zealand. They acknowledge Dr Graeme Guthrie and Professor Peter Kennedy for some helpful comments. 1 A Drunk, Her Dog and A Boyfriend: An Illustration of Multiple Cointegration and Error Correction Aaron Smith and Robin Harrison If the linear combination of non-stationary random variables results in a stationary series then the combined variables can be described as cointegrated. This article extends the humorous example introduced by Murray (1994… 

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