Publication details
Method of Cointegration and Exchange Rates
| Authors | |
|---|---|
| Year of publication | 2004 |
| Type | Article in Proceedings |
| Conference | Datastat 03, Folia Fac. Sci. Nat. Univ. Masaryk. Brunensis, Mathematica 15 |
| MU Faculty or unit | |
| Citation | |
| Field | Applied statistics, operation research |
| Keywords | Time series; nonstationary; cointegrated |
| Description | The contribution is dedicated to nonstationary time series, to the problem of identification of unit roots in time series. Some statistical tests of unit roots are shown. It is possible to use these tests in multivariate time series, for example in the problem of cointegration. Nonstationary time series $x_t$ and $y_t$ are said to be cointegrated if some linear combination of the series $ax_t+by_t$ is stationary. The vector (a,b)' is called a cointegrating vector. These tests were applied to particular data (some exchange rates). |
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