Relationships Between Non-Stationary Time Series

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


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.


Ordinary Little Square Unit Root Unit Root Test Error Correction Term White Noise Process 
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Copyright information

© Simon P. Burke and John Hunter 2005

Authors and Affiliations

  • Simon P. Burke
  • John Hunter

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