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The JohansenJuselius cointegration approach commences with the definition of a vector autoregression (VAR) given in Equation (3) as follows: where X t represents a ( K 1) vector of I (1) series at period t , i ( I = 1,..., p ) in the ( K K ) coefficient matrices of the lagged endogenous variables, and is a ( K 1) vector of error terms or innovations assumed to be independently identically distributed as ~ N (0, )

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