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Engle-granger cointegration test procedures

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Reference no: EM131085869

Time-series Econometrics (Short essay question)

1. Describe how the Durbin Watson test in conducted and how the value of 2.0 is used when conducting D-W tests.

2. Explain why we need to use (tau)-test statistics, rather than t-test statistics in the D-F unit root tests

3. When and how so-called spurious regressions take place in time-series econometrics.

4. Describe the Engle-Granger cointegration test procedures in a bivariate case.

Reference no: EM131085869

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