Error correction model: Difference between revisions

Revision as of 08:18, 10 September 2023

Revision as of 08:41, 10 September 2023

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One can then test for cointegration using a standard [[t-statistic]] on <math>\alpha</math>.

While this approach is easy to apply, there are, however numerous problems:

* The univariate unit root tests used in the first stage have low [[statistical power]]