The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration

被引：13

作者：

Johansen, Soren ^{[1
,2
]}

机构：

[1] Univ Copenhagen, Aarhus, Denmark

[2] CREATES Aarhus, Aarhus, Denmark

来源：

CONTEMPORARY ECONOMICS | 2012年 / 6卷 / 02期

基金：

新加坡国家研究基金会;

关键词：

regression; correlation; cointegration; model based inference; likelihood inference;

D O I：

10.5709/ce.1897-9254.39

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：40 / 57

页数：18

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