Forecasting with difference-stationary and trend-stationary models
نویسندگان
چکیده
منابع مشابه
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Stochastic, processes can be stationary or nonstationary. They depend on the magnitude of shocks. In other words, in an auto regressive model of order one, the estimated coefficient is not constant. Another finding of this paper is the relation between estimated coefficients and residuals. We also develop a catastrophe and chaos theory for change of roots from stationary to a nonstationary one ...
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ژورنال
عنوان ژورنال: The Econometrics Journal
سال: 2001
ISSN: 1368-4221,1368-423X
DOI: 10.1111/1368-423x.00049