Non-stationarity and Cointegration

Francis J. Bismans () and Olivier Damette ()
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Francis J. Bismans: University of Lorraine
Olivier Damette: University of Lorraine

Chapter Chapter 5 in Dynamic Econometrics, 2025, pp 133-167 from Springer

Abstract: Abstract Although we have emphasised the importance of using stationary series to estimate the linear model, one might think at first sight that working with variables that are not stationary is trivial. In reality, this is not the case, because estimating a regressionRegression with such variables very often leads to what Granger and Newbold (1974) have called spurious regressionSpurious regression.

Date: 2025
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DOI: 10.1007/978-3-031-72910-2_5

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