Engle-Granger 2 step, and 1 step, estimation procedures Cointegration in Single Equations: Cointegration - evidence of long-run or equilibrium relationships With cointegration the residuals from a regression are stationary. Tested informally and formally for cointegration Formal Tests include (1) Cointegrating Regression Durbin Watson (CRDW) test (2) Cointegrating Regression Dickey Fuller (CRDF) test Summary of Lecture (1) Introduce Granger Representation Theorem. - relates cointegration to Error Correction Models ...
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