Multiple Choice
When estimating a VEC model using a two step least squares process,what is the first step?
A) use least squares to estimate the cointegrating relationship
B) use least squares to estimate first differences as a function of estimated residuals
C) use least squares to estimated residuals as a function of first differences
D) use least squares to estimate first differences as a function of lagged differences
Correct Answer:
Verified
Correct Answer:
Verified
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Q2: When estimating a VEC model using a
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