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I am using cross correlation to find the correlation between two time series data say X and Y. I have read this somewhere that :

" If X or Y contains auto-correlation or is not stationary about mean , the cross- correlation will not reflect the true relationship between X and Y.

What to do in this case?

Thanks in advance

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For non-stationary variables we should always think in terms of cointegration

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  • $\begingroup$ What do mean by this term ? can you explain it more? $\endgroup$ – Arushi Dec 24 '13 at 20:29
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    $\begingroup$ The term is defined and explained well on page 5 of the slides that I linked to. You asked what to do and I mentioned the area of econometrics that you may need to study. There is a lot of research and expository material available on this topic, which you can summarize for yourself before asking further, more concrete questions. $\endgroup$ – Hibernating Dec 25 '13 at 1:44

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