Corradi, Valentina - In: Econometric Theory 13 (1997) 05, pp. 646-666
The aim of this paper is to characterize and analyze long-run comovements among diffusion processes. Broadly speaking, if <italic>X</italic> = (<italic>X</italic><sub>1</sub>,,<italic>X</italic><sub>2</sub>,;t ≥ 0) is a nonergodic diffusion in R<sup>2</sup>, but there exists a linear combination, say, γ′<italic>X</italic>, that is instead ergodic in R, then we say there exists a linear...
