Timeline for Non-stationary series keep close to each other but correlation between growth rates is ~0 - how is this possible?
Current License: CC BY-SA 3.0
6 events
| when toggle format | what | by | license | comment | |
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| Oct 30, 2013 at 10:18 | comment | added | Kochede | I'm concluding that this relation is spurios, but what @Dace said above about different correlations at different time-scales and high-frequency noise masking lower-frequency correlation may be the key. | |
| Oct 30, 2013 at 10:16 | comment | added | Kochede | I tested unit-root of residuals and levels: in all cases ADF-test can't reject that there may be unit-root. So correlation is 0, cointegration also seems oof-table, then it still puzzles me why those series look following each other (although at different scale) | |
| Oct 28, 2013 at 11:58 | comment | added | mpiktas | Somehow I assumed that your time series are unit roots, what do the ADF test say about levels? | |
| Oct 28, 2013 at 11:57 | comment | added | mpiktas | Did you test for cointegration? Do the residuals of level regression have unit root? If you say that there is an economic meaning of the relationship, maybe there are some articles which investigate it. This might give you an idea of what kind of model is apropriate. | |
| Oct 28, 2013 at 8:56 | comment | added | Kochede | ADF test can't reject possibility of unit root in residuals for levels, so - no conclusion. I'm pretty sure residuals from diff'ed regression will not have unit root. But I don't think this is a spurious relation - in my case it has some economic meaning and visually series look following each other closely. I'd rather believe in @Dave's suggestion above that correlations at different time-scales can be different and high-frequency noise affects this particular realization of sample correlation between diff'ed series. | |
| Oct 28, 2013 at 8:16 | history | answered | mpiktas | CC BY-SA 3.0 |