Artikel
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 analyse some monthly data from US on interest rates as an illustration of the methods.
- Language
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Englisch
- Bibliographic citation
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Journal: Contemporary Economics ; ISSN: 2084-0845 ; Volume: 6 ; Year: 2012 ; Issue: 2 ; Pages: 40-57 ; Warsaw: Vizja Press & IT
- Classification
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Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Subject
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regression
correlation
cointegration
model based inference
likelihood inference
- Event
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Geistige Schöpfung
- (who)
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Johansen, Søren
- Event
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Veröffentlichung
- (who)
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Vizja Press & IT
- (where)
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Warsaw
- (when)
-
2012
- DOI
-
doi:10.5709/ce.1897-9254.39
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Johansen, Søren
- Vizja Press & IT
Time of origin
- 2012
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