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Econometrics for Daily Lives, Volume II by Tam Bang Vu

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CHAPTER 9

Advanced Time-Series Techniques

Having learned the simple random walk model, Taila wonders what are the advanced issues with nonstationary models associated with time-series data. Prof. Metric says that her curiosity is great because we will discuss these problems in this chapter, and once we finish with it, we will be able to:

1. Analyze cases when nonstationary models can be made stationary.

2. Explain the cointegration concepts and the theoretical foundations of the related tests.

3. Discuss other time-series models.

4. Apply Excel into performing the necessary tests and estimating the models.

Prof. Metric says that we will learn how to detect a nonstationary model and how to handle a nonstationary model in the next section.

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