Lecture 13

The time has come for the last lecture.

Today I will finish cointegration (Lect 11+12 slide), with an emphasis on the very important point about doing a valid statistical test of the null hypothesis of absence of cointegration (avoid the pitfall of spurious regression), and within that topic I will focus on the simplest case of a single cointegration vector.

Then a few remarks about multiple cointegration (identification and a super quick look at the practical side of testing rank > 1 in the program).

After that I will answer questions.

If there is time left, I will then mention a hew highlights from the theory and practice of forecasting economic time series. (Lecture 13 slide set).

Ragnar