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

Søren Johansen

doi:10.5709/ce.1897-9254.39

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

Søren Johansen

Department of Economics

9 Citations (Scopus)

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

Original language	English
Journal	Contemporary Economics
Volume	6
Issue number	2
Pages (from-to)	40-57
Number of pages	18
ISSN	2084-0845
DOIs	https://doi.org/10.5709/ce.1897-9254.39
Publication status	Published - 2012

Keywords

Faculty of Social Sciences

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10.5709/ce.1897-9254.39

Cite this

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