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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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/ http://ir.uitm.edu.my/id/eprint/11846/1/AJ_NIK%20MUHD%20NAZIMAN%20AB%20RAHMAN%20WA%2002.pdf

id	uitm-11846
recordtype	eprints
spelling	uitm-118462017-11-13T05:57:21Z http://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 http://ir.uitm.edu.my/id/eprint/11846/1/AJ_NIK%20MUHD%20NAZIMAN%20AB%20RAHMAN%20WA%2002.pdf Ab Rahman, Nik Muhd Naziman (2002) How to analyse time series data using cointegration techniques / Nik Muhd Naziman Ab Rahman. Wahana Akademik, 1 (1). pp. 30-37. ISSN 1675-2414
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Teknologi MARA
building	UiTM Institutional Repository
collection	Online Access
language	English
topic	Mathematical economics. Quantitative methods
spellingShingle	Mathematical economics. Quantitative methods Ab Rahman, Nik Muhd Naziman How to analyse time series data using cointegration techniques / Nik Muhd Naziman Ab Rahman
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.
format	Article
author	Ab Rahman, Nik Muhd Naziman
author_facet	Ab Rahman, Nik Muhd Naziman
author_sort	Ab Rahman, Nik Muhd Naziman
title	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_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_sort	how to analyse time series data using cointegration techniques / nik muhd naziman ab rahman
publisher	Universiti Teknologi MARA Kedah, Sungai Petani
publishDate	2002
url	http://ir.uitm.edu.my/id/eprint/11846/ http://ir.uitm.edu.my/id/eprint/11846/1/AJ_NIK%20MUHD%20NAZIMAN%20AB%20RAHMAN%20WA%2002.pdf
first_indexed	2023-09-18T22:48:39Z
last_indexed	2023-09-18T22:48:39Z
_version_	1777417395633127424

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

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