Cointegration question.

If x and y are cointegrated, and too y and z, does this mean x and z are also cointregrated.

x, y and z are I(1), the linear combination of x,y is I(0), and the linear combination of y,z is also I(0),

So will the linear combination of x and z also be I(0) and hence cointegrated.

  • $\begingroup$ No, it your method, if log GDP earth and log Consumption on earth are cointegrated. Also log consumption on earth and log GDP on Romulus are cointegrated. Does this make log GDP on Romulus cointegrated with log consumption on earth? $\endgroup$ – user22485 May 29 '18 at 5:57
  • $\begingroup$ Ignore my previous comment, I misread your question. $\endgroup$ – Matthew Gunn May 29 '18 at 22:20

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