Cointegration and speed of convergence to equilibrium☆
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We would like to thank an editor and three anonymous referees of this journal, Adrian Pagan, Simon Potter, Soren Johansen, Peter Phillips, Clive Granger, Kevin Lee, and Colin Hargreaves for helpful comments and suggestions, and Junmo Yang for carrying out some preliminary computations when the ideas behind this paper were in their infancy. An earlier version of this paper was presented at the SPES European Workshop in Economic Theory and Econometrics held at Aarhus, Denmark, 1993, the Australasian Meeting of the Econometric Society at Sydney, 1993, and at the Universities of Warwick, Rochester, Indiana, and UCLA. Partial financial support from the ESRC (Grant No. R000233608) and the Isaac Newton Trust of Trinity College, Cambridge are gratefully acknowledged.