Multiple Regression with Integrated Time Series
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Note: CFP 720.
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References listed on IDEAS
- Campbell, John Y & Shiller, Robert J, 1987.
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- John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," NBER Working Papers 1885, National Bureau of Economic Research, Inc.
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"Permanent and Transitory Components in Macroeconomic Fluctuations,"
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- Mankiw, N. Gregory & Campbell, John, 1987. "Permanent and Transitory Components in Macroeconomic Fluctuations," Scholarly Articles 3207697, Harvard University Department of Economics.
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Keywords
LAMN; LAN asymptotics; stochastic integral; unit roots; weak convergence; weak dependence;All these keywords.
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