The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration with an Application to Annual Mean Temperature and Sea Level

Publikation: Working paperForskning

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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. Finally we analyse some data on annual mean temperature and sea level, by applying the cointegrated vector autoregressive model, which explicitly takes into account the nonstationarity of the variables.
OriginalsprogEngelsk
UdgiverDepartment of Economics, University of Copenhagen
Antal sider26
StatusUdgivet - 2010

Bibliografisk note

JEL classification: C32

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