Advertisement

Relationships Between Non-Stationary Time Series

  • Simon P. Burke
  • John Hunter
Chapter
Part of the Palgrave Texts in Econometrics book series (PTEC)

Abstract

The previous chapter dealt with the properties of univariate time series, and in particular non-stationarity as characterized by the autoregressive unit root. This chapter develops the theme by looking at the way in which this type of non-stationarity can be modelled as a common feature such that the non-stationarity in one series is fully explained by that present in an appropriate combination of other series. It is natural to think of this in terms of a single regression equation.

Keywords

Ordinary Little Square Unit Root Unit Root Test Error Correction Term White Noise Process 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Simon P. Burke and John Hunter 2005

Authors and Affiliations

  • Simon P. Burke
  • John Hunter

There are no affiliations available

Personalised recommendations