Re: Letter form Bob Solow

[pdavidso <pdavidso@xxxxxxx>]

>===== Original Message From "Lonnie K. Stevans" <acslks@xxxxxxxxxxxxxxxxx>
=====
>I obviously cannot speak for Granger, but the procedure is to test for
presence/absence of a
>unit root before testing for cointegration.  It would seem to me that the
process of just
>arbitrarily taking nth-differences without testing for multiple unit roots is
a
>"meaningless exercise."
>


It was not meaningless.  Obviously , as i said "Yaglom took a randon number
generator and
>generated two column of random numbers.  Not surprisingly he foud a unit root
>for these columns."

So Yaglom originally found a unit root -- and then tried differencing!!!


Paul

Paul Davidson
Editor, Journal of Post Keynesian Economics
University of Tennessee
SMC 523
Knoxville, Tennessee 37996-0550
phone # (865)974-4221; fax #(561)737-8262;
email pdavidson@xxxxxxx
http://econ.bus.utk.edu/davidsonextra/Davidson.html