DMCA
and stochastic trend processes (2005)
by
Jorge Caiado
,
Nuno Crato
,
Jorge Caiado
,
Nuno Crato
,
Escola Superior
,
Ciências Empresariais
BibTeX
@MISC{Caiado05andstochastic,
author = {Jorge Caiado and Nuno Crato and Jorge Caiado and Nuno Crato and Escola Superior and Ciências Empresariais},
title = {and stochastic trend processes},
year = {2005}
}
Share
 |
 |
 |
 |
||
OpenURL
Abstract
Abstract. Most of economic and financial time series have a nonstationary behavior. There are different types of nonstationary processes, such as those with stochastic trend and those with deterministic trend. In practice, it can be quite difficult to distinguish between the two processes. In this paper, we compare random walk and determinist trend processes using sample autocorrelation, sample partial autocorrelation and periodogram based metrics.
