How to analyse time series data using cointegration techniques / Nik Muhd Naziman Ab Rahman

• Autore principale: Ab Rahman, Nik Muhd Naziman (Autore)
• Natura: Libro
• Pubblicazione: Universiti Teknologi MARA Kedah, Sungai Petani, 2002.
• Soggetti: Article; PeerReviewed
• Accesso online: Link Metadata

This paper examines the methods and procedures that are employed in order to analyse time series data. Unit root tests (Augmented Dickey-Fuller and Phillips-Perron) are performed to investigate the order of integration of each variable that enters the model. Models containing non-stationary variable...