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

Ab Rahman, Nik Muhd Naziman (2002) How to analyse time series data using cointegration techniques / Nik Muhd Naziman Ab Rahman. Wahana Akademik, 1 (1). pp. 30-37. ISSN 1675-2414

[img]
Preview
Text
AJ_NIK MUHD NAZIMAN AB RAHMAN WA 02.pdf

Download (447kB) | Preview

Abstract

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 variables normally lead to problems of spurious regression whereby the obtained statistical results indicate significant relationships between the variables in the equation when in actual fact they are only evidence of contemporaneous correlations instead of true causal relations. Analysis of cointegration enables researchers to deal with models involving non-stationary variables.

Item Type: Article
Uncontrolled Keywords: Time Series Data, Cointegration Techniques
Subjects: H Social Sciences > HB Economic Theory. Demography > Methodology > Mathematical economics. Quantitative methods
Divisions: Universiti Teknologi MARA, Kedah > Sg Petani Campus
Depositing User: Staf Pendigitalan 1
Date Deposited: 05 May 2015 03:18
Last Modified: 13 Nov 2017 05:57
URI: http://ir.uitm.edu.my/id/eprint/11846

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year