cointegration related queries in StatsXchanger | QueryXchanger

How to statistically test relationship between two variables?

regression time-series cointegration structural-change macroeconomics
Updated May 28, 2020 05:19 AM

What if series are not cointegrating

var cointegration vecm granger-causality
Updated May 23, 2020 06:19 AM

Is it appropriate to run the Error Correction Model on data which are not I(1)?

cointegration granger-causality stationarity ecm
Updated May 22, 2020 19:19 PM

Co-integration test using aTSA package in R

r cointegration
Updated May 21, 2020 11:19 AM

Simulate cointegrated prices and VAR model

r time-series autoregressive var cointegration
Updated October 16, 2019 17:19 PM

Vector Autoregression Model

regression time-series var cointegration
Updated October 10, 2019 09:19 AM

Cointegrated x and y in time series analysis

regression time-series cointegration
Updated October 09, 2019 21:19 PM

ARDL with I(1) variables for calculating long-run multiplier

cointegration ardl
Updated October 04, 2019 02:19 AM

VECM: Normalized cointegrated vectors

time-series var cointegration vecm
Updated September 26, 2019 03:19 AM

Johansen test shows r=2 but 3 cointegration vectors are estimated

time-series hypothesis-testing cointegration
Updated September 26, 2019 02:19 AM

Can I use Engle-Granger test on cointegration of multivariate time series

time-series cointegration
Updated September 23, 2019 23:19 PM

Inference from a sometimes-random time-series

time-series causality cointegration
Updated September 19, 2019 23:19 PM

Queries on Interpretation of Vector Error Correction Model

cointegration vecm ecm
Updated September 18, 2019 16:19 PM

VECM Impulse Response Function: Interpretation of Results

time-series correlation cointegration vecm impulse-response
Updated September 18, 2019 14:19 PM

Johansen Cointegration on Pairwise Model but No Cointegration when put in a Multiple Variable Model

time-series var cointegration vecm
Updated September 18, 2019 07:19 AM

How to interpret impulse-response functions in relation to beta and alpha coefficients?

cointegration vecm impulse-response
Updated September 17, 2019 12:19 PM

VECM with first differences?

r time-series var cointegration vecm
Updated September 11, 2019 02:19 AM

VAR for Non-Stationary Data?

r time-series var cointegration vecm
Updated September 10, 2019 15:19 PM

Levels or First Differences, VECM or VAR for Ultimate Impulse Response Functions?

r time-series var cointegration vecm
Updated September 09, 2019 13:19 PM

How do I derive the expression for the Vector Error Correction Model?

cointegration vecm
Updated September 04, 2019 22:19 PM

Can I add stationary regressor to a regession of cointegrated variables I(1)?

time-series least-squares cointegration
Updated September 02, 2019 20:19 PM

Equivalent definitions of cointegration rank for VAR(2)

time-series self-study cointegration
Updated August 29, 2019 16:19 PM

Arima cointegration test

time-series stationarity cointegration augmented-dickey-fuller
Updated August 24, 2019 05:19 AM

Granger's representation theorem: Johansen's version

maximum-likelihood cointegration orthogonal matrix-calculus
Updated August 22, 2019 23:19 PM

Cointegration in R: Which regressions are performed in `urca::ca.jorls` and how does the output differ from `urca::ca.jo`?

time-series cointegration vecm
Updated August 22, 2019 18:19 PM

Understanding $O_p$

time-series probability convergence cointegration asymptotics
Updated August 20, 2019 06:19 AM

Cointegration in R: getting relevant information from `urca::ca.jo` output

r time-series cointegration
Updated August 19, 2019 13:19 PM

Johansen-Procedure Unit Root / Cointegration Test in R

r cointegration
Updated August 16, 2019 09:19 AM

VECM in cointegration analysis: How to chose the form of the deterministic terms from dataplots

time-series econometrics var cointegration
Updated August 13, 2019 21:19 PM

How to interpret the the results of augmented Dickey-Fuller test to make conclusions about the order of integration

cointegration augmented-dickey-fuller
Updated August 09, 2019 11:19 AM

Cointegration, Error Correction, and ADF test with lags

stationarity cointegration unit-root augmented-dickey-fuller ecm
Updated August 07, 2019 15:19 PM

integrating out a variable from the multiplication of two Gaussian distributions

bayesian normal-distribution gaussian-process posterior cointegration
Updated August 03, 2019 21:19 PM

Does a cointegration model exist for irregularly spaced time series?

time-series cointegration unevenly-spaced-time-series
Updated July 20, 2019 18:19 PM

Proof of Stationarity of dependent variable

stationarity cointegration
Updated July 19, 2019 03:19 AM

cointegration with more than 2 variables

time-series cointegration
Updated June 30, 2019 11:19 AM

What is coint ouput in statsmodels.tsa.stattools.coint?

mathematical-statistics python cointegration statsmodels
Updated June 27, 2019 16:19 PM

Interpretation of Betas and alphas in a VECM

time-series cointegration vecm
Updated June 01, 2019 02:19 AM

Simulate An Error Correction Model with Multiple Cointegrating Vectors

python simulation cointegration vecm
Updated May 27, 2019 19:19 PM

Connection between cointegration and spurious regressions

time-series cointegration spurious-correlation
Updated May 11, 2019 21:19 PM

Engle Granger Cointegration test

hypothesis-testing cointegration
Updated May 08, 2019 15:19 PM

Cointegration test between a stationary and non-stationary time series

r time-series cointegration association-measure
Updated May 06, 2019 07:19 AM

how to solve not significant "error correction term" on error correction model while coefficient is negative?

cointegration ecm
Updated April 28, 2019 19:19 PM

Cointegration (different coefficients using VECM /ca.jo and p-values)

r p-value cointegration vecm
Updated March 27, 2019 19:19 PM

Westerlund cointegration test results

cointegration
Updated March 24, 2019 21:19 PM

Can I use VAR model on I(1) series with cointegration?

time-series var cointegration vecm
Updated March 24, 2019 15:19 PM

Error Correction Model (ECM) procedure

time-series cointegration unit-root ecm
Updated March 18, 2019 22:19 PM

How to impose exclusion restriction on cointegrating vector? R reproducible example

cointegration var vecm restrictions
Updated March 17, 2019 18:19 PM

VAR order in Cointegration Test

r time-series var cointegration
Updated March 15, 2019 01:19 AM

Variance of fitted level of a variable constructed from the fitted difference

time-series variance cointegration
Updated March 11, 2019 23:19 PM

Replace a variable I (0) by an I (1 ) to test cointegration

cointegration
Updated March 11, 2019 22:19 PM

cointegration related issues & queries in StatsXchanger