Knowledge and Data Management White Papers
Simulating Time Series Analysis Using SAS - Part II Cointegration
Overview The purpose of this series of paper is to present simple discussion and SAS programming techniques specifically designed to simulate the steps involved in time series data analysis. Part I of this series covered the Augmented Dickey-Fuller (ADF) test of time series variables (stationarity test). Part II will continue the discussion on how to move further beyond the ADF testing and examine the time series variables long-run relationships (cointegration). A third part of this series is intended and will discuss how to develop an Error Correction Mechanism (ECM), a concept discussed by many authors including Granger (1983), and Banergee et al 1993, that used to determine time series short-run deviations from long-run equilibrium.
| Publisher | SAS Institute | File Format | |
|---|---|---|---|
| Date Published | February 2009 | ||
| Format | White Papers | ||
| Topics | |||
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