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A drunk and her dog: a spurious relation? Cointegration tests as instruments to detect spurious correlations between integrated time series

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  • Esther Stroe-Kunold
  • Joachim Werner

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  • Esther Stroe-Kunold & Joachim Werner, 2009. "A drunk and her dog: a spurious relation? Cointegration tests as instruments to detect spurious correlations between integrated time series," Quality & Quantity: International Journal of Methodology, Springer, vol. 43(6), pages 913-940, November.
    • Handle: RePEc:spr:qualqt:v:43:y:2009:i:6:p:913-940
    DOI: 10.1007/s11135-008-9168-9
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    3. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
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    19. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    20. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    21. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
    22. John Luiz, 2001. "Temporal Association, the Dynamics of Crime, and their Economic Determinants: A Time Series Econometric Model of South Africa," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 53(1), pages 33-61, January.
    23. Zhiqiu Lin & Augustine Brannigan, 2003. "Advances in the Analysis of Non-stationary Time Series: An Illustration of Cointegration and Error Correction Methods in Research on Crime and Immigration," Quality & Quantity: International Journal of Methodology, Springer, vol. 37(2), pages 151-168, May.
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