Granger, Clive W J; Haldrup, Niels - In: Oxford Bulletin of Economics and Statistics 59 (1997) 4, pp. 449-63
The notion of separation in cointegrated systems helps identifying possible sub-system structures that may reduce the complexity of larger systems by yielding a more parsimonious representation of the time series. In this paper the authors demonstrate that although the subsystem cointegration...
