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

• Main Author: Ab Rahman, Nik Muhd Naziman
• Format: Article
• Language: English
• Published: Universiti Teknologi MARA Kedah, Sungai Petani 2002
• Subjects: Mathematical economics. Quantitative methods
• Online Access: http://ir.uitm.edu.my/id/eprint/11846/1/AJ_NIK%20MUHD%20NAZIMAN%20AB%20RAHMAN%20WA%2002.pdf; http://ir.uitm.edu.my/id/eprint/11846/

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 variabl...