Long Term Economic Relationships From Cointegration Maps

Renato Vicente, Carlos de B. Pereira, Vitor B. P. Leite and Nestor Caticha

Papers from arXiv.org

Abstract: We employ the Bayesian framework to define a cointegration measure aimed to represent long term relationships between time series. For visualization of these relationships we introduce a dissimilarity matrix and a map based on the Sorting Points Into Neighborhoods (SPIN) technique, which has been previously used to analyze large data sets from DNA arrays. We exemplify the technique in three data sets: US interest rates, monthly inflation rates and gross domestic product growth rates.

Date: 2007-01, Revised 2007-02
References: View complete reference list from CitEc
Citations:

Published in Physica A 380 (2007) 317-324

Downloads: (external link)
http://arxiv.org/pdf/physics/0701062 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0701062

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().