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1 How to Deal with Structural Breaks in Practical Cointegration Analysis Roselyne Joyeux* School of Economic and Financial Studies Macquarie University
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1.1 Cointegration in the autoregressive representation The general VAR(k) model can be written as ¢yt = ƒyt¡1 + kX¡1 j=1 ¡j¢yt¡j + et; as considered earlier.
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Here you will find daily news and tutorials about R, contributed by over 573 bloggers. There are many ways to follow us - By e-mail:
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Introduction to Cointegration Analysis Integration and Cointegration. A univariate time series y t is integrated if it can be brought to stationarity through
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