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The analysis of nonstationary time series using regression, correlation and cointegration with an application to annual mean temperature and sea level

Johansen, Søren - 2010

Persistent link: https://www.econbiz.de/10008669923

An extension of cointegration to fractional autoregressive processes

Johansen, Søren - 2011

Persistent link: https://www.econbiz.de/10008810484

Some identification problems in the cointegrated vector autoregressive model

Johansen, Søren - In: Journal of econometrics 158 (2010) 2, pp. 262-273

Persistent link: https://www.econbiz.de/10008839956

Some identification problems in the cointegrated vector autoregressive model

Johansen, Søren (contributor) - 2007

Persistent link: https://www.econbiz.de/10003571199

Correlation, regression, and cointegration of nonstationary economic time series

Johansen, Søren (contributor) - 2007

Persistent link: https://www.econbiz.de/10003571206

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