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Two or more non-stationary, integrated variables are cointegrated if there exists a linear combination of those variables which is stationary.

2
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1answer
I am trying to use the R package "urca". It has functions cajorls and cajools, which do ordinary least squares (OLS) regression of restricted and unrestricted vector error correction model (VECM) resp …
asked Jul 15 '14 by Michael
1
vote
2answers
I am trying to use urca library to do cointegration test, and its function ca.jo, which conducts the Johansen procedure on a given data set. I think a lag order of 1 is possible for a cointegrated …
asked Aug 2 '14 by Michael