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Correlation, Regression, and Cointegration of Nonstationary Economic Time Series · Study

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PreprintCorrelation, Regression, and Cointegration of Nonstationary Economic Time Series

Søren Johansen2008

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Correlation, Regression, and Cointegration of Nonstationary Economic Time Series

Søren Johansen

24 citations·0/0 files stored·SSRN Electronic Journal

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Monetary Policy and Economic Impact Complex Systems and Time Series Analysis Diverse Scientific and Economic Studies

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References

1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 1981Some properties of time series data and their use in econometric model specification 2010Likelihood inference for a nonstationary fractional autoregressive model 2001Venetian Sea Levels, British Bread Prices, and the Principle of the Common Cause 2003Nonstationary Time Series, Cointegration, and the Principle of the Common Cause 2010Some identification problems in the cointegrated vector autoregressive model

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2008Short-Run Exchange-Rate Dynamics: Theory and Evidence 2008Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate

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Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations24

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.2139/ssrn.1150541

openalex_workW1550456787

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