Identifying Steady State Relationships in a Multidirectional System: A Multivariate Cointegration Analysis
نویسنده
چکیده
This paper aims at identifying steady state relations (cointegrated relationships) in a system that contains multidirectional nexuses for a hypothetical economic structure. The study discusses various econometric tools needed to identify long run cointegration vectors and employs these tools to derive three such relationships. This study will be useful for a researcher to identify steady state relationships within a system of multidirectional relationships among financial markets or economic variables.
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