The Econometric Analysis of Cointegration short course addresses modelling techniques for time-series data when unit roots are present in the data. An overview of the technical characteristics of time-series data and the concept of stationarity will be shared, along with the econometric techniques of co-integration and error correction models are revised in single equations (residual-based co-integration), with an emphasis on their empirical application and the notion of multivariate co-integration is discussed and applied.
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