Banerjee, Anindya (contributor); … - 2008
cointegrating rank (N −r)andestimators
of the cointegrating vectors (β
0
), see e.g. Engle and Granger (1987) or Johansen (1995). A … that x
At
and f
t
are cointegrated, while the f
t
are
uncorrelated random walks. Therefore, from the Granger representation …