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Using Cointegration Analysis in Econometric Modelling
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In this article, the authors introduce the Short-Run and Long-Run models and test unit roots and Cointegration in single-and multi-dimensional systems, respectively.Abstract:
1. Introduction and Overview 2. Short - and Long-Run Models 3. Testing for Unit Roots 4. Cointegration in Single Equations 5. Cointegration in Multivariate Systems 6. Modelling the Short-Run and Other Extensions Appendix References Indexread more
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