The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration with an Application to Annual Mean Temperature and Sea Level

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There are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse by examples the effect of nonstationarity on inference using these methods and compare them to model based inference. Finally we analyse some data on annual mean temperature and sea level, by applying the cointegrated vector autoregressive model, which explicitly takes into account the nonstationarity of the variables.
Original languageEnglish
PublisherDepartment of Economics, University of Copenhagen
Number of pages26
Publication statusPublished - 2010

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