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what is the main difference between simple linear regression and Canonical cointegrating regression. Why we should use Canonical cointegrating regression instead of OLS?

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    $\begingroup$ Hi: you use canonical cointegration regression if you want to test that two or more variables are cointegrated. Cointegration is a HUGE topic on its own that had it's official start in 1987 ( engle and granger, econometrica ) so there shouldn't be a problem finding material on it by googling. In your case, you could google for "johansen and juselius". There will be a lot of material that comes up. But that material is kind of generalization of the 1987 approach so I would start with the EG paper or an econometrics text that explains EG first. It's easier than the JJ material. $\endgroup$ – mark leeds Aug 17 at 3:52
  • $\begingroup$ Hello JSM, I actually don't think that your question is well here. Sure, we can use regression in Economics, but it isn't specific to economics. So Mathematics, Data Science or Cross Validated would be better places. $\endgroup$ – bilbo_pingouin Aug 22 at 8:33

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