Lecture 18 Cointegration
RS – EC2 - Lecture 18 10 • Step 2: Use residuals et for unit root test. - Note: If εt ~I(1), t-test has a non-standard distribution.-H0 (unit root in residuals): =0 vs H1: <1 for the model - t-statistic: - Critical values tabulated by simulation in EG. • We expect …
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