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
收藏
页码：40 / 57
页数：18
相关论文
共 50 条
  • [21] Time-series analysis of nonstationary plasma fluctuations using wavelet transforms
    Santoso, S
    Powers, EJ
    Bengtson, RD
    Ouroua, A
    [J]. REVIEW OF SCIENTIFIC INSTRUMENTS, 1997, 68 (01): : 898 - 901
  • [22] Analysis of Nonstationary Stochastic Simulations Using Classical Time-Series Models
    Brandao, Rita Marques
    Porta Nova, Acacio M. O.
    [J]. ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION, 2009, 19 (02):
  • [23] Adaptive coherence analysis of nonstationary time series using the adaptive Lomb spectrum
    Chan, S. C.
    Zhang, Z. G.
    [J]. 2005 IEEE/SP 13th Workshop on Statistical Signal Processing (SSP), Vols 1 and 2, 2005, : 837 - 840
  • [24] Time-dependent spectral analysis of nonstationary time series
    Adak, S
    [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1998, 93 (444) : 1488 - 1501
  • [25] Methods for Time Series Analysis Using Segmented Regression with Heteroskedasticity
    Kuzmin, Valeriyi
    Ivanets, Olga
    Zaliskyi, Maksym
    Shcherbyna, Olga
    Holubnychyi, Oleksii
    Sevriukova, Oksana
    [J]. INTEGRATED COMPUTER TECHNOLOGIES IN MECHANICAL ENGINEERING-2023, VOL 1, ICTM 2023, 2024, 1008 : 501 - 512
  • [26] Functional Ergodic Time Series Analysis Using Expectile Regression
    Alshahrani, Fatimah
    Almanjahie, Ibrahim M.
    Elmezouar, Zouaoui Chikr
    Kaid, Zoulikha
    Laksaci, Ali
    Rachdi, Mustapha
    [J]. MATHEMATICS, 2022, 10 (20)
  • [27] Coupling correlation adaptive detrended analysis for multiple nonstationary series
    Wang, Fang
    Han, Guosheng
    [J]. CHAOS SOLITONS & FRACTALS, 2023, 177
  • [28] Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors
    Hannadige, Sium Bodha
    Gao, Jiti
    Silvapulle, Mervyn J.
    Silvapulle, Param
    [J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2024, 42 (01) : 122 - 134
  • [29] Clustering Nonlinear, Nonstationary Time Series Using BSLEX
    Jane L. Harvill
    Priya Kohli
    Nalini Ravishanker
    [J]. Methodology and Computing in Applied Probability, 2017, 19 : 935 - 955
  • [30] CATS in RATS: Cointegration analysis of time series: Version 1.01
    Tufte, D
    [J]. JOURNAL OF APPLIED ECONOMETRICS, 1998, 13 (03) : 321 - 330
12345