نتایج جستجو برای: seasonal unit root
تعداد نتایج: 588948 فیلتر نتایج به سال:
This paper examines the effect of X-11 seasonal adjustment on periodic autoregressive processes, using both analytic techniques and simulation. Analytical results show that adjustment reduces (but does not eliminate) periodicity in the coefficients of a stationary PAR(1) process, and it generally moves the coefficients towards unity. A nonstationary periodically integrated process is converted ...
The aims of this paper are estimate and forecast the Non-Accelerating Inflation Rate of Unemployment, or nairu, for Brazilian unemployment time series data. In doing so, we introduce a methodology for estimating mixed additive seasonal autoregressive (masar) models, by the Generalized Method of Moments (gmm). Furthermore, in order to cover a lack in econometric literature, an asymptotic theory ...
Tests for unit roots in univariate time series with level shifts are proposed and investigated The level shift is assumed to occur at a known time It may be a simple one time shift which can be captured by a dummy variable or it may have a more general form which can be modeled by some general nonlinear transition function There may also be more than one shift point and there may be other deter...
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