Differencing and Unit Root Tests
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چکیده
e d In the Box-Jenkins approach to analyzing time series, a key question is whether to difference th ata, i.e., to replace the raw data {x } by the differenced series {x −x }. Experience indicates that m t t t −1 ost economic time series tend to wander and are not stationary, but that differencing often yields a e r stationary result. A key example, which often provides a fairly good description of actual data, is th andom walk, x = x + ε , where {ε } is white noise, assumed here to be independent, each having the s t t −1 t t
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Saddlepoint Approximations for the Unit Root Power Envelope
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متن کاملDifferencing and Unit Root Tests
e d In the Box-Jenkins approach to analyzing time series, a key question is whether to difference th ata, i.e., to replace the raw data {y } by the differenced series {y −y }. Experience indicates that m t t t −1 ost economic time series tend to wander and are not stationary, but that differencing often yields a e r stationary result. A key example, which often provides a fairly good descriptio...
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