Haldrup, Niels (contributor); … - 2005
the states.
Keywords: Cointegration, electricity prices, forecasting, fractional inte-
gration and cointegration, long … differences are identically zero. Thus, an extreme form
of cointegration occurs in this situation because the prices are identical … prices
can appear not to cointegrate. Hence the model can potentially exhibit state
dependent fractional cointegration.
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By …