Econometric Methods and Climate Research - Integration 经济计量方法和气候研究的整合.pptVIP

Econometric Methods and Climate Research - Integration, Cointegration and the statistical analysis of non-stationary time series Part 2 ECONCLIM meeting, DMI, 15. 9. 2003 Richard Reichel University of Erlangen-Nürnberg Cointegration - an example Cointegration means, that a regression of two variables of the same integration order (say I(1)) produces I(0) residuals. Thus residuals do not fluctuate in long swings around the Zero line, but quite rapidly correct a disequilibrium within . This is interpreted as evidence for the existence of a stable equilibrium relationship between the variables