Consider the cointegrated model Yt Xt = 0Xt + vit, Xt-1+U2t, where it and v2t are...
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Consider the cointegrated model Yt Xt = 0Xt + vit, Xt-1+U2t, where it and v2t are mean zero serially uncorrelated random variables with E [v₁tv2j] = 0 for all t and j. Derive the vector error correction representation for this model. Consider the cointegrated model Yt Xt = 0Xt + vit, Xt-1+U2t, where it and v2t are mean zero serially uncorrelated random variables with E [v₁tv2j] = 0 for all t and j. Derive the vector error correction representation for this model.
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Related Book For
Introductory Econometrics A Modern Approach
ISBN: 978-0324660548
4th edition
Authors: Jeffrey M. Wooldridge
Posted Date:
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