notices - See details
Notices
JK
Joachim Klement, CFA (not verified)
6th July 2016 | 9:51am

Yes, Garrett, I did. There are older papers of mine on SSRN where I go into somewhat more econometric detail, but the essence is that as long as you have reasonably long data series there are no issues with unit roots and cointegration. The situation may change, however, if you take just five years of historic data.