A Note on Regressions with Integrated Variables
AbstractThe purpose of this note is to contribute to modeling time series that may be characterized as integrated. In particular, a discussion about the use of standard distributions in regression models is included and some essential concepts are previously reviewed to this effect. The main objective is to analyze, through examples, the transformations required to formulate the model with stationary variables, emphasizing the fact that these transformations are not necessarily required. Likewise, several cases of practical interest are presented, such as the representation in levels or in differences in the Granger causality analysis and the autoregressive distributed lag models.
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Bibliographic InfoArticle provided by Central Bank of Argentina, Economic Research Department in its journal Ensayos Económicos.
Volume (Year): 1 (2006)
Issue (Month): 45 (October)
autoregressive distributed lag models; Granger causality; integrated time series; stationarity;
Find related papers by JEL classification:
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
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