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Correlograms for non-stationary autoregressions

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  • Bent Nielsen

    ()
    (Nuffield College, Oxford University)

Abstract

Analysis of economic time series often involves correlograms and partial correlograms as graphical descriptions of temporal dependence. Two methods are available for computing these statistics: one based on autocorrelations and the other on scaled autocovariances. For stationary time series the resulting plots are nearly identical. When it comes to economic time series that usually exhibit non-stationary features these methods can lead to very different results. This has two consequences: (i) incorrect inferences can be drawn when confusing these concepts; (ii) a better discrimination between stationary and non-stationarity appears when using autocorrelations rather than autocovariances which are commonly used in econometric software.

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File URL: http://www.nuff.ox.ac.uk/economics/papers/2003/W11/NielsenACF.pdf
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Bibliographic Info

Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2003-W11.

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Length: 16 pages
Date of creation: 02 Apr 2003
Date of revision:
Handle: RePEc:nuf:econwp:0311

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Web page: http://www.nuff.ox.ac.uk/economics/

Related research

Keywords: correlogram; covariogram; non-stationary;

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Cited by:
  1. Abadir, Karim M. & Caggiano, Giovanni & Talmain, Gabriel, 2013. "Nelson–Plosser revisited: The ACF approach," Journal of Econometrics, Elsevier, vol. 175(1), pages 22-34.
  2. Nielsen, Bent, 2010. "Analysis Of Coexplosive Processes," Econometric Theory, Cambridge University Press, vol. 26(03), pages 882-915, June.
  3. B. Nielsen, 2009. "Test for cointegration rank in general vector autoregressions," Economics Papers 2009-W10, Economics Group, Nuffield College, University of Oxford.
  4. Escanciano, J. Carlos & Lobato, Ignacio N., 2009. "An automatic Portmanteau test for serial correlation," Journal of Econometrics, Elsevier, vol. 151(2), pages 140-149, August.
  5. E ric E ngler & B ent N ielsen, 2009. "The empirical process of autoregressive residuals," Econometrics Journal, Royal Economic Society, vol. 12(2), pages 367-381, 07.

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