Cointegration and Error Correction
نویسندگان
چکیده
1 The Background Elementary courses in statistics introduce at an early stage the key assumption of “random sampling”. In more technical language, the data set is assumed to be identically and independently distributed (i.i.d.). In this framework a range of simple and elegant results can be derived, for example, that the variance of the mean of n observations is 1/n times the variance of the observations themselves. Given a random sample of n pairs (x, y) with sample correlation coeffi cient rxy, if at least one of the pair has a Gaussian (normal) distribution the existence of a relationship between them is tested by comparing the “t statistic” rxy/ √ (1− r2 xy)/(n− 2) with the Student t distribution with n − 2 degrees of freedom. All the inference procedures in
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