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- Mon Mar 15, 2010 7:43 am
- Forum: Econometric Discussions
- Topic: Engle-Granger two step on stationary series
- Replies: 1
- Views: 3578
Engle-Granger two step on stationary series
Hi guys! I've got two variables, e which is the currency (price of one currency in another) and i which is the interest rate differential (local versus foreign). These two series are I(1) but so is the residuals, thus I can't just go ahead using error correction models. But; if I use the change from...