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Questions tagged [co-integration]

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Spurious regressions [closed]

If $\{ X_t \}$ is a $I(1)$ series and $\{ Y_t \}$ is a $I(0)$ series, would it cause "spurious regression" when regressing like $Y_i=\beta_0+\beta_1 X_i+u_i$? Thanks!
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If two variables are not cointegrated, can one still cause the other?

For part of a project, I wanted to see if electricity consumption causes GDP in Colorado. I initially intended to follow the approach of Mozumder and Marathe (2007), who use a VECM approach, but that ...
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1answer
18 views

When only half of the independent variables are non stationary, does it make sense to run a cointegration test?

I have the following regression equation (panel data): $Y = f(X_1, X_2, X_3, X_4)$ After obtaining CIPS and CADF statistics, $X_1$ results to be stationary for both intercept and intercept + trend, ...
3
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Aggregate production function, factor shares and cointegration

When estimating an aggregate production function you fit your data to a selected functional form of the production function, derive the parameters and inference from there. My question is, is there ...
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0answers
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Sources of Growth and co-integration: production function approach

I am experimenting with time series data to gauge the importance of factors of production i.e. labour force, capital stock, energy, land, etc. in output growth. One venue I am looking into is the ...