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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.

Suggested Citation

  • Bent Nielsen, 2003. "Correlograms for non-stationary autoregressions," Economics Papers 2003-W11, Economics Group, Nuffield College, University of Oxford.
  • Handle: RePEc:nuf:econwp:0311
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    File URL: http://www.nuff.ox.ac.uk/economics/papers/2003/W11/NielsenACF.pdf
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    References listed on IDEAS

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    1. Katarina Juselius & Zorica Mladenovic, 2002. "High Inflation, Hyperinflation and Explosive Roots: The Case of Yugoslavia," Discussion Papers 02-23, University of Copenhagen. Department of Economics.
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    Cited by:

    1. B. Nielsen, 2009. "Test for cointegration rank in general vector autoregressions," Economics Papers 2009-W10, Economics Group, Nuffield College, University of Oxford.
    2. Abadir, Karim M. & Caggiano, Giovanni & Talmain, Gabriel, 2013. "Nelson–Plosser revisited: The ACF approach," Journal of Econometrics, Elsevier, vol. 175(1), pages 22-34.
    3. 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, July.
    4. Nielsen, Bent, 2010. "Analysis Of Coexplosive Processes," Econometric Theory, Cambridge University Press, vol. 26(03), pages 882-915, June.
    5. 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.

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    Keywords

    correlogram; covariogram; non-stationary;

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