Abstract
The regression theory of Chapter 6 and the VAR models discussed in the previous chapter are appropriate for modeling I(0) data, like asset returns or growth rates of macroeconomic time series. Economic theory often implies equilibrium relationships between the levels...
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APA
Zivot, E., & Wang, J. (2003). Cointegration. In Modeling Financial Time Series with S-Plus® (pp. 415–460). Springer New York. https://doi.org/10.1007/978-0-387-21763-5_12
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