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Codependence and Cointegration

URN to cite this document:
urn:nbn:de:bvb:355-epub-98527
Trenkler, Carsten ; Weber, Enzo
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Date of publication of this fulltext: 21 Oct 2009 14:01


Abstract

We introduce the idea of common serial correlation features among non-stationary, cointegrated variables. That is, the time series do not only trend together in the long run, but adjustment restores equilibrium immediately in the period following a deviation. Allowing for delayed re-equilibration, we extend the framework to codependence. The restrictions derived for VECMs exhibiting the common ...

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