The analysis of nonstationary time series using regression, correlation and cointegration

Søren Johansen

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.

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Year of publication:	2012
Authors:	Johansen, Søren
Published in:	Contemporary economics. - Warsaw : VIZJA University, ISSN 2300-8814, ZDB-ID 2605668-9. - Vol. 6.2012, 2 (25.6.), p. 40-57
Subject:	regression \| correlation \| cointegration \| model based inference \| likelihood inference \| Zeitreihenanalyse \| Time series analysis \| Korrelation \| Correlation \| Regressionsanalyse \| Regression analysis \| Schätztheorie \| Estimation theory \| Kointegration \| Cointegration

Extent:	graph. Darst
Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	10.5709/ce.1897-9254.39 [DOI] hdl:10419/105380 [Handle]
Classification:	C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009767620