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

  title={The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration},
  author={S{\o}ren Johansen},
  journal={Econometrics: Econometric Model Construction},
  • 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. 

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