cointegration related queries in StatsXchanger | QueryXchanger

Coefficient restriction and cointegration

cointegration restrictions
Updated April 19, 2018 14:19 PM

R code for Granger representation theorem of VECM model

r var cointegration vecm
Updated April 11, 2018 16:19 PM

Which cointegration test to apply when variables are I(1) and I(2)?

time-series cointegration
Updated April 02, 2018 20:19 PM

Johansen Test - What is a lag?

hypothesis-testing python cointegration
Updated March 31, 2018 20:19 PM

Comparing two time series, if the pattern is similar or different.

r time-series correlation cointegration cross-correlation
Updated March 29, 2018 15:19 PM

ECM (error correction model): interpretation of a I(1) differentiated time serie as its "variation around its long-run trend"

time-series cointegration ecm
Updated March 29, 2018 13:19 PM

Can we use differenced logarithms of variables when checking for cointegration?

time-series data-transformation cointegration logarithm
Updated March 11, 2018 08:19 AM

Phillips–Perron unit root test instead of ADF test?

regression cointegration
Updated February 25, 2018 19:19 PM

Vector Error Correction Models (sign of the coefficent)

time-series var cointegration vecm
Updated February 23, 2018 23:19 PM

Contradictory outputs using Engle and Granger's test vs Johansen's test

time-series cointegration
Updated February 16, 2018 20:19 PM

two co-integrated series implies that residuals are stationary?

stationarity cointegration non-stationary
Updated February 14, 2018 21:19 PM

Forecast encompassing test for cointegrated time series

time-series hypothesis-testing forecasting cointegration
Updated February 09, 2018 14:19 PM

Trend-stationary Residuals in Engle-Granger Cointegration Test

regression residuals cointegration
Updated January 22, 2018 22:19 PM

VECM - How many cointegrating equations can you have?

time-series cointegration vecm
Updated January 21, 2018 21:19 PM

Normalization choice in cointegration models

cointegration vecm
Updated January 17, 2018 18:19 PM

Does it make sense to produce a forecast in R using a VECM in this way?

r forecasting var cointegration vecm
Updated January 11, 2018 12:19 PM

VAR in levels for cointegrated data

references var cointegration
Updated January 10, 2018 14:19 PM

Cointegration testing and seasonality

multiple-regression seasonality cointegration
Updated January 04, 2018 15:19 PM

spatial non-stationarity, spatial durbin model "in differences" and bounds testing

spatial cointegration ardl
Updated January 03, 2018 15:19 PM

Should multicollinearity problem be looked into while doing cointegration?

time-series multicollinearity autoregressive cointegration vecm
Updated January 01, 2018 17:19 PM

Is cointegration able to change regarding different time period?

var cointegration
Updated December 30, 2017 10:19 AM

Should cointegration work both side?

python cointegration
Updated December 25, 2017 18:19 PM

ARDL model assumptions

assumptions cointegration unit-root ardl ecm
Updated December 21, 2017 09:19 AM

Engle-Granger cointegration testing with a structural break

cointegration
Updated December 20, 2017 08:19 AM

Johansen Test gave me cointegration relationships for stationary series

time-series forecasting stationarity cointegration
Updated December 19, 2017 14:19 PM

Engle-Granger Two-Step Method and the significance of the found variables

regression-coefficients cointegration unit-root non-stationary integral
Updated December 14, 2017 22:19 PM

Instrumental variables in a cointegrated regression

regression cointegration instrumental-variables
Updated December 13, 2017 10:19 AM

Cointegration but no Granger-Causality found

cointegration granger-causality
Updated December 12, 2017 14:19 PM

Using Index (ratio) for time series analysis

time-series forecasting garch cointegration ratio
Updated December 10, 2017 20:19 PM

Log-price difference and the Ornstein-Uhlenbeck process

time-series econometrics stochastic-processes cointegration calculus
Updated December 09, 2017 08:19 AM

Granger causality and cointegration

time-series cointegration granger-causality
Updated December 07, 2017 12:19 PM

Different results from Trace statistics and Maximum statistic with Johansen cointegration test

r time-series cointegration
Updated December 05, 2017 22:19 PM

Very simple cointegration question

cointegration
Updated December 04, 2017 17:19 PM

Model residuals pass stationarity test, but Durbin–Watson test fails

r regression autocorrelation cointegration spurious-correlation
Updated November 24, 2017 17:19 PM

Cointegration structure

time-series cointegration augmented-dickey-fuller
Updated November 24, 2017 00:19 AM

Understanding of the specification of the Johansen Cointegration test in R

r time-series cointegration
Updated November 24, 2017 00:19 AM

VAR or VECM for a system of I(0) and I(1) variables?

time-series var cointegration non-stationary vecm
Updated November 15, 2017 23:19 PM

Cointegration and structural change

cointegration
Updated November 07, 2017 19:19 PM

Help with VECM interpretation error correction terms, what is the equation?

r time-series var cointegration vecm
Updated November 07, 2017 15:19 PM

Constructing a VECM with a mix of I(0) and I(1) variables

time-series cointegration var
Updated November 06, 2017 00:19 AM

Error correction model: lags in the long-run equation

cointegration integration ecm
Updated October 31, 2017 14:19 PM

Do I need to use stationary time series data when building linear model with AR error terms?

time-series autocorrelation stationarity cointegration augmented-dickey-fuller
Updated October 25, 2017 18:19 PM

Estimating and justifying a weakly cointegrated regression analysis in panel setting

regression panel-data covariance cointegration
Updated October 15, 2017 21:19 PM

How is the ratio of two cointegrated series related to their difference?

time-series stationarity cointegration
Updated October 12, 2017 04:19 AM

Testing cointegration for variables that are both I(0)?

r time-series cointegration
Updated October 09, 2017 19:19 PM

Johansen Cointegration Test - Interpret results to find Behavioral Equilibrium Exchange Rate

mathematical-statistics cointegration
Updated October 04, 2017 05:19 AM

Why does the presence of cointegration solve the problem of spurious correlation?

time-series least-squares cointegration spurious-correlation
Updated September 17, 2017 15:19 PM

Variable limit for Johansen Test

cointegration likelihood-ratio
Updated September 13, 2017 13:19 PM

Pesaran ARDL Model for testing cointegration relationship - How many variables?

r stationarity cointegration non-stationary ardl
Updated September 07, 2017 11:19 AM

Cointegration if both variables are I(0)?

r fitting var cointegration
Updated September 05, 2017 13:19 PM

cointegration related issues & queries in StatsXchanger