Handbooks of Research Methods and Applications series
Edited by Nigar Hashimzade and Michael A. Thornton
Chapter 7: Cointegration and error correction
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.
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