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
Question Has Been Solved by an Expert!
Get step-by-step solutions from verified subject matter experts
Step: 2 Unlock
Step: 3 Unlock
