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Saturday, March 10, 2007

20 years Cointegration

End of march there is a conference in Rotterdam celebrating 20 years since the Engle and Granger paper introducing cointegration. Two time series are cointegrated if they are non-stationary but a linear combination of them is stationary.

Speakers include: Granger himself, Hendry, Pesaran, and Bruce Hansen. The program can be seen here.

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