Hi everyone ,
I need your help , please visit this link after reading what is below:
https://www.quantopian.com/lectures/integration-cointegration-and-stationarity#answers
I have a question about the EXERCICE 3. I'm not really convinced of doing an OLS between X4 and X1.
I personnaly thought to do a multiple regression between X2,X3,X4 and X1. But Who should be my output ? X1 ? because usually we have many predictors and 1 output . Here is as if I had X2,X3,X4 as 1 output that I would note Y (if I follow the lecture logic) and X1 as a predictor. Anyway, I'm a bit lost but for sure I'm not convinced of the Answer in the Exercice 3
Thanks in advance for you helps
Regards
iheb