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Introduction to Econometrics 3rd Edition by James Stock, James Stock
Edition 3ISBN: 978-9352863501Introduction to Econometrics 3rd Edition by James Stock, James Stock
Edition 3ISBN: 978-9352863501 Exercise 17
Consider the cointegrated model Y t = X t + v 1 t and X t = X t 1 + v 2 t , where v 1 t and v 2 t , are mean zero serially uncorrelated random variables with E ( v 1 t v 2 j ) = 0 for all t and j. Derive the vector error correction model [Equations (16.22) and (16.23)] for X and Y. ![Consider the cointegrated model Y t = X t + v 1 t and X t = X t 1 + v 2 t , where v 1 t and v 2 t , are mean zero serially uncorrelated random variables with E ( v 1 t v 2 j ) = 0 for all t and j. Derive the vector error correction model [Equations (16.22) and (16.23)] for X and Y.](https://d2lvgg3v3hfg70.cloudfront.net/SM2686/11eb9b5b_3f3a_5a28_bf3e_9dd86e843223_SM2686_00.jpg)
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The vector error correction model define...
Introduction to Econometrics 3rd Edition by James Stock, James Stock
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