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文章基本信息

  • 标题:Demonstrating The Use Of Vector Error Correction Models Using Simulated Data
  • 本地全文:下载
  • 作者:Carl B. McGowan, Jr. ; Izani Ibrahim
  • 期刊名称:Journal of Business Case Studies
  • 印刷版ISSN:1555-3353
  • 电子版ISSN:2157-8826
  • 出版年度:2012
  • 卷号:8
  • 期号:4
  • 出版社:The Clute Institute for Academic Research
  • 摘要:In this paper, we demonstrate the use of time series analysis, including unit roots tests, Granger causality tests, cointergation tests and vector error correction models. We generate four time series using simulation such that the data has both a random component and a growth trend. The data are analyzed to demonstrate the use of time series analysis procedures.
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