Discrimination between deterministic trend and stochastic trend processes

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.

MoreLess

Year of publication:	2005
Authors:	Caiado, Jorge ; Crato, Nuno

More details

Type of publication:	Book / Working Paper
Language:	English
Notes:	Caiado, Jorge and Crato, Nuno (2005): Discrimination between deterministic trend and stochastic trend processes. Published in: Proceedings of the XIth International Conference on Applied Stochastic Models and Data Analysis : pp. 1419-1424.
Classification:	C32 - Time-Series Models ; C19 - Econometric and Statistical Methods: General. Other
Source:	BASE

Persistent link: https://www.econbiz.de/10015220420