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by theblackcat
Sat Aug 29, 2009 4:51 pm
Forum: Estimation
Topic: Joint Null Testing & Johansen
Replies: 0
Views: 2169

Joint Null Testing & Johansen

Hi everyone, Another newbie here, I was wondering if anyone could help me with a joint null hypothesis test within the Johansen framework. The spot vs. futures regression I wanted to estimate was: s = a + bf + e. I did the VAR, but I’m not sure how I should impose restrictions to come up with a join...

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