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- Tue May 11, 2010 7:16 am
- Forum: Econometric Discussions
- Topic: Eviews 5 var and vecm
- Replies: 0
- Views: 2118
Eviews 5 var and vecm
I am currently testing two time series to see if one leads the other in finding a new price, both series are related by arbitrage relations in theory. Previous studies haves used the johansen cointegration test and then gone to use a vecm. However i have found through the use of the augumented df te...