Displaying 1 result from an estimated 1 matches for "matreix".
Did you mean:
mateix
2007 Aug 05
1
Understanding of Johansen test.
Dear all,
I am struggling to understand the johansen test procedure in the context of co-integration in time series. Yes I understand that this forum is not directly statistics related but still I am posting here hoping that I would get som help.
The error correction representation of a VAR[p] model can be written as:
Delta y[t] = A[0]*y[t-1] + A[1]*Delta y[t-1] +..............