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Results tagged with cointegration
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user 96471
Two or more non-stationary, integrated variables are cointegrated if there exists a linear combination of those variables which is integrated of a lower order, e.g. stationary.
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Questions about cointegration and error correction model
I am confused about cointegration and error correction model. I gather that, if two variables are cointegrated, they are related. … As I understand it, before developing ECM, we should have unit root test and cointegration test. …
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