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Multivariate VAR Models II: - City University of New York
A VECM is more appropriate to model macro and several financial data. ... First-difference all the variables to remove ... Merih Uctum Created Date: 4/26/2007 5:49 ...
http://userhome.brooklyn.cuny.edu/economics/muctum/EconometricsG/Multivariate%20ModelsII-Johansen.doc
