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- Tue May 22, 2012 5:41 am
- Forum: Estimation
- Topic: Cointegration - exogenous variables
- Replies: 17
- Views: 24855
Re: Cointegration - exogenous variables
Dear Mr. Thomas von Brasch, With regards to your earlier post, I am trying to test for cointegration in the presence of stationary, exogenous variables. I am using the approach of Rahbek and Mosconi (1999) - Cointegration rank inference with stationary regressors in VAR models, Econometrics Journal ...