文章基本信息

标题：The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration
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作者：Søren Johansen
期刊名称：Contemporary Economics
印刷版ISSN：2084-0845
出版年度：2012
卷号：6
期号：2
页码：40-57
DOI：10.5709/ce.1897-9254.39
出版社：University of Finance and Management, Warsaw
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.
关键词：regression; correlation; cointegration; model based inference; likelihood inference