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.

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Year of publication:	2012
Authors:	Johansen, Søren
Published in:	Contemporary Economics. - Warsaw : Vizja Press & IT, ISSN 2084-0845. - Vol. 6.2012, 2, p. 40-57
Publisher:	Warsaw : Vizja Press & IT
Subject:	regression \| correlation \| cointegration \| model based inference \| likelihood inference

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.5709/ce.1897-9254.39 [DOI] 755282809 [GVK] hdl:10419/105380 [Handle] RePEc:wyz:journl:id:239 [RePEc]
Classification:	C32 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010436033