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, Soren
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Zeitreihenanalyse \| Time series analysis \| Regressionsanalyse \| Regression analysis \| Korrelation \| Correlation \| Schätztheorie \| Estimation theory \| Kointegration \| Cointegration

Extent:	1 Online-Ressource (18 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Contemporary Economics, Vol. 6, No. 2, pp. 40-57, 2012 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2012 erstellt
Classification:	C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013097567