- Autor
- Johansen Søren (Universities of Copenhagen and CREATES Aarhus, Denmark)
- Tytuł
- The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration
- Źródło
- Contemporary Economics, 2012, vol. 6, nr 2, s. 40-57, wykr., tab., bibliogr. 19 poz.
- Słowa kluczowe
- Korelacja, Analiza regresji, Kointegracja
Correlation, Regression analysis, Cointegration - Uwagi
- summ.
- Abstrakt
- 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. (original abstract)
- Pełny tekst
- Pokaż
- Bibliografia
-
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- Yule, U. (1926). Why do we sometimes get nonsense-correlations between time series? - A study in sampling and the nature of time series. Journal of the Royal Statistical Society, 89, 1-63.
- Cytowane przez
- ISSN
- 2084-0845
- Język
- eng
- URI / DOI
- http://dx.doi.org/10.5709/ce.1897-9254.39
