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Cointegration Test
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1:04:43
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AN Economist
24. Understanding Cointegration: Why Non-Stationary Variables Move Together? | Q&A + Intuition
In this video, we discuss one of the most important concepts in modern time series econometrics: Cointegration. Many economic and financial variables are non-stationary and contain unit roots. Regressing such variables on each other can often lead to spurious regression. However, there are situations where non-stationary variables share a ...
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