Question: Write python code illustrating how to model time series in the presence of non-stationarity and detect the same using real world economic and financial time

Write python code illustrating how to model time series in the presence of non-stationarity and detect the same using real world economic and financial time series data (do not use simulated data).using regression models - cointegration, VAR model, ECM model, spurious regressions. Concept of equilibrium should be illustrated. Give at least 2 example sets of real world economic and financial time series data.

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Economics Questions!