The analysis of nonstationary time series using regression, correlation and cointegration
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The analysis of nonstationary time series using regression, correlation and cointegration. / Johansen, Søren.
In: Contemporary Economics, Vol. 6, No. 2, 2012, p. 40-57.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - The analysis of nonstationary time series using regression, correlation and cointegration
AU - Johansen, Søren
N1 - JEL Classification: C32
PY - 2012
Y1 - 2012
N2 - 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
AB - 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
KW - Faculty of Social Sciences
KW - regression
KW - correlation
KW - cointegration
KW - model based inference
KW - likelihood inference
U2 - 10.5709/ce.1897-9254.39
DO - 10.5709/ce.1897-9254.39
M3 - Journal article
VL - 6
SP - 40
EP - 57
JO - Contemporary Economics
JF - Contemporary Economics
SN - 2084-0845
IS - 2
ER -
ID: 38347169