How to analyse time series data using cointegration techniques / Nik Muhd Naziman Ab Rahman
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...
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| Format: | Article |
| Language: | English |
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Universiti Teknologi MARA Kedah, Sungai Petani
2002
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| Online Access: | https://ir.uitm.edu.my/id/eprint/11846/1/AJ_NIK%20MUHD%20NAZIMAN%20AB%20RAHMAN%20WA%2002.pdf |
| _version_ | 1825733980425551872 |
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| author | Ab Rahman, Nik Muhd Naziman |
| author_facet | Ab Rahman, Nik Muhd Naziman |
| author_sort | Ab Rahman, Nik Muhd Naziman |
| collection | UITM |
| description | 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. |
| first_indexed | 2024-03-06T01:25:00Z |
| format | Article |
| id | oai:ir.uitm.edu.my:11846 |
| institution | Universiti Teknologi MARA |
| language | English |
| last_indexed | 2024-03-06T01:25:00Z |
| publishDate | 2002 |
| publisher | Universiti Teknologi MARA Kedah, Sungai Petani |
| record_format | dspace |
| spelling | oai:ir.uitm.edu.my:118462017-11-13T05:57:21Z https://ir.uitm.edu.my/id/eprint/11846/ How to analyse time series data using cointegration techniques / Nik Muhd Naziman Ab Rahman Ab Rahman, Nik Muhd Naziman Mathematical economics. Quantitative methods 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. Universiti Teknologi MARA Kedah, Sungai Petani 2002 Article PeerReviewed text en https://ir.uitm.edu.my/id/eprint/11846/1/AJ_NIK%20MUHD%20NAZIMAN%20AB%20RAHMAN%20WA%2002.pdf How to analyse time series data using cointegration techniques / Nik Muhd Naziman Ab Rahman. (2002) Wahana Akademik <https://ir.uitm.edu.my/view/publication/Wahana_Akademik/>, 1 (1). pp. 30-37. ISSN 1675-2414 |
| spellingShingle | Mathematical economics. Quantitative methods Ab Rahman, Nik Muhd Naziman How to analyse time series data using cointegration techniques / Nik Muhd Naziman Ab Rahman |
| title | How to analyse time series data using cointegration techniques / Nik Muhd Naziman Ab Rahman |
| title_full | How to analyse time series data using cointegration techniques / Nik Muhd Naziman Ab Rahman |
| title_fullStr | How to analyse time series data using cointegration techniques / Nik Muhd Naziman Ab Rahman |
| title_full_unstemmed | How to analyse time series data using cointegration techniques / Nik Muhd Naziman Ab Rahman |
| title_short | How to analyse time series data using cointegration techniques / Nik Muhd Naziman Ab Rahman |
| title_sort | how to analyse time series data using cointegration techniques nik muhd naziman ab rahman |
| topic | Mathematical economics. Quantitative methods |
| url | https://ir.uitm.edu.my/id/eprint/11846/1/AJ_NIK%20MUHD%20NAZIMAN%20AB%20RAHMAN%20WA%2002.pdf |
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