The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration with an Application to Annual Mean Temperature and Sea Level
AbstractThere 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. Finally we analyse some data on annual mean temperature and sea level, by applying the cointegrated vector autoregressive model, which explicitly takes into account the nonstationarity of the variables.
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Bibliographic InfoPaper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 10-27.
Length: 26 pages
Date of creation: Oct 2010
Date of revision:
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More information through EDIRC
regression correlation cointegration; model based inference; likelihood inference; annual mean temperature; sea level;
Other versions of this item:
- Søren Johansen, 2011. "The analysis of nonstationary time series using regression, correlation and cointegration - with an application to annual mean temperature and sea level," DSS Empirical Economics and Econometrics Working Papers Series 2011/4, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Søren Johansen, 2010. "The analysis of nonstationary time series using regression, correlation and cointegration with an application to annual mean temperature and sea level," CREATES Research Papers 2010-69, School of Economics and Management, University of Aarhus.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-30 (All new papers)
- NEP-ECM-2010-10-30 (Econometrics)
- NEP-ETS-2010-10-30 (Econometric Time Series)
- NEP-ORE-2010-10-30 (Operations Research)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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