Special module — Strict Multicointegration (Granger–Lee)

Status: outline. Lecture body not authored.

This module is not the object of HARMONIA. It exists so the Granger–Lee term is not taken as the course object.

• accumulated equilibrium errors
• I(2) behaviour
• difference from multivariate cointegration
• why “multicointegration” does not mean “many assets”
• research relevance and evidence boundary

Unique process — Strict multicointegration ≠ multivariate cointegration

Granger–Lee studies accumulations of equilibrium errors. HARMONIA studies relationship spaces among 3+ assets.