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.
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© 2005 Simon P. Burke and John Hunter
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Burke, S.P., Hunter, J. (2005). Relationships Between Non-Stationary Time Series. In: Modelling Non-Stationary Time Series. Palgrave Texts in Econometrics. Palgrave Macmillan, London. https://doi.org/10.1057/9780230005785_3
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DOI: https://doi.org/10.1057/9780230005785_3
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-4039-0203-0
Online ISBN: 978-0-230-00578-5
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