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5 votes
Accepted

What was the paper that discussed the unit-root/spurious regression in economics before cointegration?

I was thinking of this one: Granger, Clive WJ, and Paul Newbold. "Spurious regressions in econometrics." Journal of econometrics 2.2 (1974): 111-120. Available here, http://www.climateaudit....
sera's user avatar
  • 86
5 votes

Does I(1) imply a process is cointegrated with its lag?

Just to add to the answers already given. I think the easiest way to see that this cannot be the case is using a CVAR formulation. For a reference see Johansen and Juselius (1990) (https://...
Andrew M's user avatar
  • 426
5 votes

Does I(1) imply a process is cointegrated with its lag?

You are confusing concept of co-integration with concept of integration. If a series $y_t−y_{t−1}=u_t$ is stationary then series is integrated of order 1 not co-integrated. The term co-integration ...
csilvia's user avatar
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3 votes
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Does I(1) imply a process is cointegrated with its lag?

Does I(1) imply a process is cointegrated with its lag? No. By definition cointegration is a property of multiple time series variables of which they are all integrated of the same order. See ...
1muflon1's user avatar
  • 57k
2 votes

Spurious regressions

That is illegal because an I(1) series wanders ( doesn't have a constant mean ) and an I(0) series doesn't so they can't be set equal. In order to obtain a valid time series regression, the order on ...
mark leeds's user avatar
2 votes

If two variables are not cointegrated, can one still cause the other?

Causality between time-series variables does not require the two to be cointegrated. First, cointegration requires that each series be $I(1)$. It is certainly possible for two $I(0)$ series to ...
dlnB's user avatar
  • 595
2 votes

Difference-in-Difference (DID) Regression with Non-Stationary (but Cointegrated) Treatment and Control Groups

If your question is the broad: "How do I estimate the differences between these two groups under these problematic contexts?" I recommend taking a look at event study literature, which has a ...
RegressForward's user avatar
2 votes

Should Prices (or Price Indices) be modelled with deterministic trend?

Should Prices (or Price Indices) be modelled with deterministic trend? Often yes. Prices could have time trend for various reasons. For example, the most obvious one is inflation. While inflation is ...
1muflon1's user avatar
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1 vote

Difference in Difference - how to choose the control group (difference with no clear trend, parallel series or cointegrated?)

Is it enough to require not having a clear trend in period previous to test in the difference between both groups? Or should I also need that the groups move in parallel? Technically, the assumption ...
1muflon1's user avatar
  • 57k
1 vote
Accepted

Should one remove trend from time series before testing for cointegration?

It is not necessary to detrend the series although the trend has to be dealt with and detrending is one of the options but there are also other options. Other options include explicitly modeling the ...
1muflon1's user avatar
  • 57k
1 vote

Johansen test explanation

I think that the wikipedia steps are not completely correct. When you perform Johansen cointegration test you first have to pretest the data to find if they have the same order of integration. That is ...
1muflon1's user avatar
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1 vote

Aggregate production function, factor shares and cointegration

Intuitively, you test for cointegration because if two variables are cointegrated, they represent only a "one dimensional" family of data points - even if you have a million data points from that ...
Ege Erdil's user avatar
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