Relationships Between Non-Stationary Time Series
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.
KeywordsOrdinary Little Square Unit Root Unit Root Test Error Correction Term White Noise Process
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