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Two cointegrated series contain a single unit root. Each series can be formulated as the sum of a common unit root plus a stationary component. Most textbooks covering cointegration will cover such formulations - see Hamilton's (1994) discussion of Phillips' "triangular representation" of a cointegrated vector, for example. Simulating is likely to be easy ...


Non-Stationary process can be analyzed and there are various models available that can be used . For example, Autoregressive Integrated Moving Average model (ARIMA) models are used to explain homogeneous non-stationary models as well as random walk with drift can be used for explaining several such series. have a look at this link : ...

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