Times Series: Cointegration
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More about this item
Keywordsadjustment coefficients; cointegrating relations; cointegration; cointegrated vector autoregressive model; Dickey-Fuller distributions; error correction models; econometric analysis of macroeconomic data; likelihood inference; mixed Gaussian distribution; nonstationarity;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-11-12 (All new papers)
- NEP-ECM-2014-11-12 (Econometrics)
- NEP-ETS-2014-11-12 (Econometric Time Series)
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