A Drunk and Her Dog: An Illustration of Cointegration and Error Correction
作者:
MichaelP. Murray,
期刊:
The American Statistician
(Taylor Available online 1994)
卷期:
Volume 48,
issue 1
页码: 37-39
ISSN:0003-1305
年代: 1994
DOI:10.1080/00031305.1994.10476017
出版商: Taylor & Francis Group
关键词: Drunkard's walk;Econometrics;Nonstationary process;Random walk
数据来源: Taylor
摘要:
If there exists a stationary linear combination of nonstationary random variables, the variables combined are said to becointegrated.A humorous example of a drunk and her dog illustrates cointegration much as “the drunkard's walk” illustrates random-walk processes. The example makes clear why using first differences of the variables is a mistaken way to look for linear relationships between potentially cointegrated variables. The example also makes clear the link between cointegrated variables and error-correction models.
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