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noetsi
Obsidian | Level 7

I am fairly certain SAS does not do this, but I wanted to be sure. I need to run this procedure and I know SAS best.

I also thought others than me might benefit from this in time series. It has SAS code, but not for this type of cointegration.

 

http://www.ams.sunysb.edu/~zhu/ams586/ECM.pdf