[R-SIG-Finance] Cointegration

[Arun.stat]

As per the definition of co-integration, a system is called co-integrated if
that system is integrated (with non zero order) but there exist some linear
relationship among the underlying variables which is of order less than "d"
(d: the order of the main system.)

Therefore if all your variables are Stationary/Stable then co-integration
would not be defined.

In fact for any stationary system, finding a linear stationary relationship
is trivial as you are applying some stationary operator on stationary
variables. Hence you do not need any fancy testing system to prove/disprove
the existance of any such linear relationship.

HTH 
_____________________________________________________ 

Arun Kumar Saha, FRM 
QUANTITATIVE RISK AND HEDGE CONSULTING SPECIALIST 
Visit me at: http://in.linkedin.com/in/ArunFRM

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