Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/105380
Authors: 
Johansen, Søren
Year of Publication: 
2012
Citation: 
[Journal:] Contemporary Economics [ISSN:] 2084-0845 [Publisher:] Vizja Press & IT [Place:] Warsaw [Volume:] 6 [Year:] 2012 [Issue:] 2 [Pages:] 40-57
Abstract: 
There 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 using the cointegrated vector autoregressive model. Finally we analyse some monthly data from US on interest rates as an illustration of the methods.
Subjects: 
regression
correlation
cointegration
model based inference
likelihood inference
JEL: 
C32
Persistent Identifier of the first edition: 
Document Type: 
Article
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