Ar(1) Time Series Process Econometrics 7590
نویسنده
چکیده
We define the AR(1) process and its properties and applications. We demonstrate the applicability of our method to model time series data consisting of daily values of the interest rate on federal funds. We show that correctly identifying the distribution of the errors terms allows for correct modelling of the data. Furthermore, we show our conclusions concerning the hypothesis test for goodness-of-fit cannot be rejected.
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