Exercise 4 Consider the following VAR in standard form Yt Y113t 1123t 1 Cyt Zt 721Yt 17223t 1 ezt where yt I(1) and z I(1) 1 Explain under what conditions the two processes are cointegrated 2 How would you test for cointegration Exercise 4 Consider the following VAR in standard form Yt Y113t 1123t...

1 The two processes are cointegrated if the rank of the matrix 11 12 y21 22 is ...

Exercise 4 Consider the following VAR in standard form Yt = Y113t-1123t-1+ Cyt Zt = 721Yt-17223t-1...

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Fundamentals of Corporate Finance

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Exercise 4 Consider the following VAR in standard form Yt = Y113t-1123t-1+ Cyt Zt = 721Yt-17223t-1...

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1 The two processes are cointegrated if the rank of the matrix 11 12 y21 22 is ... View the full answer

Fundamentals of Corporate Finance

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