Time Series Models, Unit Roots, and Cointegration: An Introduction

44 Pages Posted: 24 Feb 2011 Last revised: 15 Nov 2012

See all articles by Lonnie K. Stevans

Lonnie K. Stevans

Hofstra University - Frank G. Zarb School of Business

Date Written: November 15, 2012

Abstract

This is a concise review of time series including unit roots and cointegration analysis.

Keywords: Unit Root, Cointegration, Nonstationarity, Autocorrelation, ARIMA Models

JEL Classification: A10, A23

Suggested Citation

Stevans, Lonnie K., Time Series Models, Unit Roots, and Cointegration: An Introduction (November 15, 2012). Available at SSRN: https://ssrn.com/abstract=1767999 or http://dx.doi.org/10.2139/ssrn.1767999

Lonnie K. Stevans (Contact Author)

Hofstra University - Frank G. Zarb School of Business ( email )

Department of IT/QM
134 Hofstra University
Hempstead, NY 11549
United States
516-463-5375 (Phone)

HOME PAGE: http://www.lonniestevans.com

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