The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration

@article{Johansen2010TheAO,
  title={The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration},
  author={S{\o}ren Johansen},
  journal={Econometrics: Econometric Model Construction},
  year={2010}
}
  • S. Johansen
  • Published 15 October 2010
  • Economics
  • Econometrics: Econometric Model Construction
There are simple well-known conditions for the validity of regression and cor- relation as statistical tools. We analyse by examples the eect 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 ap- plying the cointegrated vector autoregressive model, which explicitly takes into account the nonstationarity of the variables. 

An Extension of Cointegration to Fractional Autoregressive Processes

This paper contains an overview of some recent results on the statistical analysis of cofractional processes, see Johansen and Nielsen (2010b). We …rst give an brief summary of the analysis of

Learning the Structure of a Nonstationary Vector Autoregression

This work modified the likelihood component of the BIC score used by score-based search algorithms, such that it remains a consistent selection criterion for integrated or cointegrated processes, and uses this modified score in conjunction with the SVAR-GFCI algorithm to recover qualitative structural information about the underlying data-generating process even in the presence of latent (unmeasured) factors.

HAAVELMO’S PROBABILITY APPROACH AND THE COINTEGRATED VAR

Some key econometric concepts and problems of great importance to Trygve Haavelmo and Ragnar Frisch are discussed within the general framework of a cointegrated VAR. The focus is on problems typical

Comment on testing for spurious and cointegrated regressions: a wavelet approach

In a recent paper, Leong and Huang [6] proposed a wavelet-correlation-based approach to test for cointegration between two time series. However, correlation and cointegration are two different

A Note on Wavelet Correlation and Cointegration

In a recent paper Leong-Huang:2010 {Journal of Applied Statistics 37, 215–233} proposed a wavelet-correlation-based approach to test for cointegration between two time series. However, correlation

Statistical Inference for Nonstationary Processes

This chapter discusses statistical inference for nonstationary processes, which is of particular interest for long-memory processes because long-range dependence often generates sample paths that mimic certain features of nonstationarity.

Response to the comment on testing for spurious and cointegrated regressions: a wavelet approach

In ‘A Note on Wavelet Correlation and Cointegration’, Fernandez-Macho [1] argued that the test proposed in Leong and Huang [4] is ‘just a mere test of correlation that cannot be used as a test of

A Bootstrap Cointegration Rank Test for Panels of VAR Models

This paper proposes a sequential procedure to determine the common cointegration rank of panels of cointegrated VARs. It shows how a panel of cointegrated VARs can be transformed in a set of

Rejoinder: A Note on Wavelet Correlation and Cointegration

This rejoinder highlights some of the differences in the test approach adopted by Fernandez-Macho (2013) in his critique of Leong and Huang (2010) and those commonly found in the literature such as

References

SHOWING 1-10 OF 34 REFERENCES

Co-integration and error correction: representation, estimation and testing

The relationship between cointegration and error correction models, first suggested by Granger, is here extended and used to develop estimation procedures, tests, and empirical examples. A vector of

STATISTICAL ANALYSIS OF COINTEGRATION VECTORS

Understanding spurious regressions in econometrics

Optimal Inference in Cointegrated Systems

Properties of maximum likelihood estimates of cointegrated systems are studied. Alternative formulations are considered, including a new triangular system error correction mechanism. We demonstrate

Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model

Abstract Empirical evidence on the expectations hypothesis of the term structure is in-conclusive and its validity widely debated. Using a cointegrated VAR model of US treasury yields, this paper

Spurious regressions in econometrics

UNDERSTANDING SPURIOUS REGRESSIONS

Yale University, New Haven, CT 06520-2125, USAReceived May 1985, final version received April 1986This paper provides an analytical study of linear regressions involving the levels of economic

Econometric Theory and Methods

Econometric Theory and Methods International Edition provides a unified treatment of modern econometric theory and practical econometric methods. The geometrical approach to least squares is

Emissions, Concentrations, & Temperature: A Time Series Analysis

We use recent advances in time series econometrics to estimate the relation among emissions of CO2 and CH4, the concentration of these gases, and global surface temperature. These models are

Statistical Analysis in Climate Research

This chapter discusses statistical concepts in climate research, as well as time series and stochastic processes, and some of the techniques used to estimate covariance functions and spectra.