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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. (original abstract)
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autor
- Universities of Copenhagen and CREATES Aarhus, Denmark
Bibliografia
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- Johansen, S. (1996). Likelihood-based Inference in Cointegrated Vector Autoregressive Models. New York, NY: Oxford University Press.
- Johansen, S. (2006). Cointegration: a survey. In T. C. Mills & K. Patterson (Eds.), Palgrave Handbook of Econometrics: Volume 1, Econometric Theory (16, pp. 17-34). New York, NY: Palgrave Macmillan.
- Juselius, K. (2006).The Cointegrated VAR Model: Econometric Methodology and Macroeconomic Applications. New York, NY: Oxford University Press.
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Bibliografia
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