COINTEGRATION AND DISTANCE BETWEEN INFORMATION SETS
在希尔伯特空间框架下研究格兰杰非因果性与协整关系，证明若X和Y协整，则差分序列ΔX和ΔY的信息集距离小于ΔX的标准差。
This paper investigates Granger noncausality and the cointegrating relation between two time series in the Hilbert space framework. This framework allows us to analyze the relationship between cointegration and distance between two information sets. In particular, we prove that if two variables, X and Y , are cointegrated, then the distance between two information sets, concerning the differenced series Δ X and Δ Y , must be less than the standard deviation of Δ X .