The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration
There are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse by examples the effect of nonstationarity on inference using these methods and compare them to model based inference using the cointegrated vector autoregressive model. Finally we a...
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| Format: | Article |
| Language: | English |
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VIZJA University
2012-06-01
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| Series: | Contemporary Economics |
| Online Access: | http://ce.vizja.pl/en/download-pdf/id/239 |
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| _version_ | 1850104545929068544 |
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| author | Søren Johansen |
| author_facet | Søren Johansen |
| author_sort | Søren Johansen |
| collection | DOAJ |
| description | There are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse by examples the effect of nonstationarity on inference using these methods and compare them to model based inference using the cointegrated vector autoregressive model. Finally we analyse some monthly data from US on interest rates as an illustration of the methods. |
| format | Article |
| id | doaj-art-46eadf4e4e93412ba95b25018962208a |
| institution | DOAJ |
| issn | 2084-0845 |
| language | English |
| publishDate | 2012-06-01 |
| publisher | VIZJA University |
| record_format | Article |
| series | Contemporary Economics |
| spelling | doaj-art-46eadf4e4e93412ba95b25018962208a2025-08-20T02:39:19ZengVIZJA UniversityContemporary Economics2084-08452012-06-016219010.5709/ce.1897-9254.39The Analysis of Nonstationary Time Series Using Regression, Correlation and CointegrationSøren JohansenThere are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse by examples the effect of nonstationarity on inference using these methods and compare them to model based inference using the cointegrated vector autoregressive model. Finally we analyse some monthly data from US on interest rates as an illustration of the methods.http://ce.vizja.pl/en/download-pdf/id/239 |
| spellingShingle | Søren Johansen The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration Contemporary Economics |
| title | The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration |
| title_full | The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration |
| title_fullStr | The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration |
| title_full_unstemmed | The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration |
| title_short | The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration |
| title_sort | analysis of nonstationary time series using regression correlation and cointegration |
| url | http://ce.vizja.pl/en/download-pdf/id/239 |
| work_keys_str_mv | AT sørenjohansen theanalysisofnonstationarytimeseriesusingregressioncorrelationandcointegration AT sørenjohansen analysisofnonstationarytimeseriesusingregressioncorrelationandcointegration |