Co-integration

For econometric discussions not necessarily related to EViews.

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VladDemian
Posts: 1
Joined: Sat Jan 02, 2010 11:55 pm

Co-integration

Postby VladDemian » Sun Jan 03, 2010 12:13 am

I need to perform a cointegration analysis between several market indexes. Should I use the raw data or the logarithm of the data? I've noticed that in most research the log is used but why?

Thank you

bensamen
Posts: 8
Joined: Fri Mar 13, 2009 9:46 am
Location: Kinshasa, Democratic Republic of Congo

Re: Co-integration

Postby bensamen » Tue Jan 19, 2010 3:48 am

We usually use logarithm in time series data in order eliminate the non-stationary of the variance and to reduce the sum squared resid.


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