Cointegration is an important tool for modeling the long-run relationships in time series data. If you work with time series data, you will likely find yourself needing to use cointegration at some point. This blog provides an in-depth introduction to cointegration and will cover all the nuts and bolts you need to get started.
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cointegration, error correction model, time series
Though many standard econometric models assume that variance is constant, structural breaks in variance are well-documented, particularly in economic and finance data. If these changes are not accurately accounted for, they can hinder forecast inference measures, such as forecast variances and intervals. In this blog, we consider a tool that can be used to help locate structural breaks in variance — the iterative cumulative sum of squares algorithm(ICSS) (Inclan and Tiao, 1994).
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ICSS, structural breaks, time series
