The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration
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Bibliographic InfoArticle provided by University of Finance and Management in Warsaw in its journal Contemporary Economics.
Volume (Year): 6 (2012)
Issue (Month): 2 (June)
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- Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- Giese, Julia V., 2008.
"Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model,"
Economics Discussion Papers
2008-13, Kiel Institute for the World Economy.
- Giese, Julia V., 2008. "Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 2(28), pages 1-20.
- Fernández Macho, Francisco Javier, . "A Note on Wavelet Correlation and Cointegration," BILTOKI Biltoki;2013-04, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
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