The analysis of nonstationary time series using regression, correlation and cointegration

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Standard

The analysis of nonstationary time series using regression, correlation and cointegration. / Johansen, Søren.

I: Contemporary Economics, Bind 6, Nr. 2, 2012, s. 40-57.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Johansen, S 2012, 'The analysis of nonstationary time series using regression, correlation and cointegration', Contemporary Economics, bind 6, nr. 2, s. 40-57. https://doi.org/10.5709/ce.1897-9254.39

APA

Johansen, S. (2012). The analysis of nonstationary time series using regression, correlation and cointegration. Contemporary Economics, 6(2), 40-57. https://doi.org/10.5709/ce.1897-9254.39

Vancouver

Johansen S. The analysis of nonstationary time series using regression, correlation and cointegration. Contemporary Economics. 2012;6(2):40-57. https://doi.org/10.5709/ce.1897-9254.39

Author

Johansen, Søren. / The analysis of nonstationary time series using regression, correlation and cointegration. I: Contemporary Economics. 2012 ; Bind 6, Nr. 2. s. 40-57.

Bibtex

@article{3e288356d51f4eb0980c49848147b5a6,
title = "The analysis of nonstationary time series using regression, correlation and cointegration",
abstract = "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",
keywords = "Faculty of Social Sciences, regression, correlation, cointegration, model based inference, likelihood inference ",
author = "S{\o}ren Johansen",
note = "JEL Classification: C32",
year = "2012",
doi = "10.5709/ce.1897-9254.39",
language = "English",
volume = "6",
pages = "40--57",
journal = "Contemporary Economics",
issn = "2084-0845",
publisher = "VIZJA Press & IT",
number = "2",

}

RIS

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