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I am doing a time series analysis on a quarterly basis from 1990 to the third quarter 2012. Some of the time series had a drop in 2008 because of recession then resumed upwards. This drop is rather steep. I am thinking of using credit spreads since credit spreads follows the economy rather well. Then I can apply cointegration and VECM on the series. Thanks

Gr8694
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  • Welcome to the site! Providing a bit more information about the approach you're imagining might help you get an answer that you can use! Maybe tell us a bit about the structure of your data and show a graph depicting the drop you describe? – Kyle. Jan 01 '13 at 18:06

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