DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA
- 1 July 1982
- journal article
- Published by Wiley in Journal of Time Series Analysis
- Vol. 3 (4) , 235-243
- https://doi.org/10.1111/j.1467-9892.1982.tb00346.x
Abstract
In multiple time series analysis it is sometimes suggested to remove non‐stationarities of the univariate subseries by differencing prior to the multivariate analysis. It is pointed out that, in general, this is not adequate if AR models are built even if stationarity of the univariate subseries can be induced by differencing. Canadian money and income data that were previously analysed by Hsiao are used to illustrate the resulting problems.Keywords
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