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Details van artikel 3 van 7 gevonden artikelen
| Titel: |
On Trend and Autocorrelation |
| Auteur: |
Pierce, David A. |
| Verschenen in: |
Communications in statistics |
| Paginering: | Jaargang 4 (1975) nr. 2 pagina's 163-175 |
| Jaar: |
1975 |
| Inhoud: |
Many time series in economics and other areas can be effectively represented as the sum of a polynomial trend and an autoregressive integrated moving average process, in some cases after allowing for a systematic model. Such series are nonstationary if either the degree m of the trend or the number d of auto-regressive roots lying on the unit circle is greater than zero. Sufficient differencing of the series can eliminate either type of nonstationarity; however if m > d the minimally-differenced stationary series is noninvertible. It is shown that either type of nonstationarity results in a sample autocorrelation function which in general fails to dampen, and that consequently if m > d the usual identification procedure may result in “over-differencing” the series. A method is presented for the identification of such series, and some simulated series are analyzed. Analogous problems for seasonal series are considered briefly. |
| Uitgever: |
Taylor & Francis |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 3 van 7 gevonden artikelen
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