Lecture 18 Cointegration
RS – EC2 - Lecture 18 5 •An mx1 vector time series Yt is said to be cointegrated of order (d,b), CI(d,b) where 0<b d, if each of its component series Yit is I(d) but some linear combination ’Yt is I(d b) for some constant vector ≠0. • : cointegrating vector or long-run parameter. • The cointegrating vector is not unique. For any scalar c
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