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1
The analysis of nonstationary time series using regression, correlation and
cointegration
Johansen, Søren
- In:
Contemporary economics
6
(
2012
)
2
,
pp. 40-57
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...
Persistent link: https://www.econbiz.de/10009767620
Saved in:
2
Chapter 11 Forecasting with Trending Data
Elliott, Graham
-
2006
models as well as examine the effects of erroneously assuming
cointegration
. It is shown that inconclusive theoretical … imposing
cointegration
can be more or less useful for different horizons. The problem of forecasting variables with trending …
Persistent link: https://www.econbiz.de/10014023695
Saved in:
3
Chapter 6 Forecasting with VARMA Models
Lütkepohl, Helmut
-
2006
Vector autoregressive moving-average (VARMA) processes are suitable models for producing linear forecasts of sets of time series variables. They provide parsimonious representations of linear data generation processes. The setup for these processes in the presence of stationary and cointegrated...
Persistent link: https://www.econbiz.de/10014023700
Saved in:
4
Testing the monetary model for exchange rate determination in South Africa : evidence from 101 years of data
De Bruyn, Riané
;
Gupta, Rangan
;
Stander, Lardo
- In:
Contemporary economics
7
(
2013
)
1
,
pp. 19-32
co-integration
tests and the studies on South Africa primarily using short-span data from the post-Bretton Woods era, we … Dollar using annual data from 1910 – 2010. The results provide some support for the monetary model in that long-run
co-integration
…
Persistent link: https://www.econbiz.de/10009770376
Saved in:
5
Cointegrated VARMA models and forecasting US interest rates
Kascha, Christian
;
Trenkler, Carsten
-
2011
generates forecasts superior to methods which do not allow for moving-average terms. --
Cointegration
; VARMA Models …
Persistent link: https://www.econbiz.de/10009740153
Saved in:
6
Chapter 13 Forecasting Seasonal Time Series
Ghysels, Eric
;
Osborn, Denise R.
;
Rodrigues, Paulo M.M.
-
2006
linear analysis concludes with a discussion of the nature and implications of
cointegration
in the context of forecasting …
Persistent link: https://www.econbiz.de/10014023693
Saved in:
7
Exchange Rate Pass-through
Dash, Aruna Kumar
;
Narasimhan, V.
- In:
South Asia Economic Journal
12
(
2011
)
1
,
pp. 1-23
aggregate export/import prices is set up, and the analysis is carried out using Johansen–Juselius
cointegration
and error …
Persistent link: https://www.econbiz.de/10011135999
Saved in:
8
Regional labor market performance in Europe : error correction dynamics and the role of national institutions and local structure
Herwartz, Helmut
;
Niebuhr, Annekatrin
- In:
International regional science review
40
(
2017
)
3
,
pp. 270-296
Persistent link: https://www.econbiz.de/10011704060
Saved in:
9
The persistence of local joblessness
Amior, Michael
;
Manning, Alan
- In:
The American economic review
108
(
2018
)
7
,
pp. 1942-1970
Persistent link: https://www.econbiz.de/10011891501
Saved in:
10
Are Minimum Wages to Blame for Informality in the Labour Market?
Carneiro, Francisco
- In:
Empirica
31
(
2004
)
4
,
pp. 295-306
Persistent link: https://www.econbiz.de/10005719107
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