Chapter 14: Cointegration
Test for a Cointegration Relation in the Bivariate Case
Cointegration Test Using PROC VARMAX for Two Price Series
Cointegration Tests in a Five-Dimensional Series
Initial Estimates for the β Values
Use of the RESTRICT Statement to Determine the Form of the Model
Stock-Watson Test for Common Trends for Five Series
A Rank 4 Model for Five Series Specified with Restrictions
An Alternative Form of the Restrictions
Estimation of the Model Parameters by a RESTRICT Statement
Estimation with Restrictions on Both the α and β Parameters
Introduction
In this chapter, you will learn how to test for the existence of error correction relations among multivariate time series. In statistical ...
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