Narrow search
Showing 1 - 10 of 7,850
Cover Image
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 …
Persistent link: https://www.econbiz.de/10009767620
Cover Image
Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity
Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36
, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …
Persistent link: https://www.econbiz.de/10011862130
Cover Image
A covariate residual-based cointegration test applied to the CDS-bond basis
Game, Aaron; Wu, Jason - In: Journal of time series econometrics 5 (2013) 2, pp. 163-192
Persistent link: https://www.econbiz.de/10010225442
Cover Image
Extreme canonical correlations and high-dimensional cointegration analysis
Onatski, Alexei; Wang, Chen - 2017
Persistent link: https://www.econbiz.de/10012667643
Cover Image
Blaming suicide on NASA and divorce on margarine : the hazard of using cointegration to derive inference on spurious correlation
Moosa, Imad A. - In: Applied economics 49 (2017) 15, pp. 1483-1490
Persistent link: https://www.econbiz.de/10011813612
Cover Image
Are US real house prices stationary? : new evidence from univariate and panel data
Zhang, Jing; Jong, Robert M. de; Haurin, Donald R. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10011431067
Cover Image
Measuring correlations of integrated but not cointegrated variables : a semiparametric approach
Sun, Yiguo; Hsiao, Cheng; Li, Qi - In: Journal of econometrics 164 (2011) 2, pp. 252-267
Persistent link: https://www.econbiz.de/10009301926
Cover Image
A note on wavelet correlation and cointegration
Fernández Macho, Francisco Javier - 2013
Persistent link: https://www.econbiz.de/10010417860
Cover Image
Estimating long run effects and the exponent of cross-sectional dependence : an update to xtdcce2
Ditzen, Jan - 2021
Persistent link: https://www.econbiz.de/10013179176
Cover Image
Modeling multivariate time series with fractional integration in macroeconomics and finance
Weigand, Roland - 2018
Persistent link: https://www.econbiz.de/10012197752