Causal analysis would be difficult if the time series of non-stationarity process. Non-stationarity theory and vector error correction model can be used for this type of the problem. Multi-cointegration and causal relationship were introduced. The multi-cointegration among Aluminum Futures, Aluminum spots and oxide-Al at Shanghai Metal Exchange were studied by the above models. The results showed that the three price series followed the multi-cointegration relationship by the VAR model. The casual relationship among the three prices series were proposed.
陈晓红, 佘坚. 期铝、现铝与氧化铝价格多重协整关系实证研究[J]. J4, 2006, 3(2): 211-.
CHEN Xiao-Hong, SHE Jian. An Empirical Research: Multi-cointegration Relationship Among Al Futures, Al Spots and Oxide-Al. J4, 2006, 3(2): 211-.