Chapter 7: Cointegration and error correction
James Davidson
Category:
Handbook Chapter
Published:
30 Jul 2013
Page Range:
165–188
Collection:
Economics 2013
DOI:
https://doi.org/10.4337/9780857931023.00013
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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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Cover Handbook of Research Methods and Applications in Empirical Macroeconomics
Handbook of Research Methods and Applications in Empirical Macroeconomics
Edited by Nigar Hashimzade and Michael A. Thornton
Handbook
Published:
30 Jul 2013
Print ISBN:
9780857931016
eISBN:
9780857931023
DOI:
https://doi.org/10.4337/9780857931023
Pages:
640
Collection:
Economics 2013
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