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Briefly discuss the impact of non-stationarity in multivariate regression analysis. In this context, develop the concept of cointegration, with a focus on the contribution of cointegration in multivariate analysis. Develop models for cointegrated variables in both a single equation and Vector Autoregression setting and illustrate methodologies for modeling, testing, and interpretation of such models. Give examples of applications where such models may be used. Provide some intuition for the results of your models and their interpretation
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