๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Level Shifts and the Illusion of Long Memory in Economic Time Series

โœ Scribed by Smith, Aaron

Book ID
120442786
Publisher
American Statistical Association
Year
2005
Tongue
English
Weight
576 KB
Volume
23
Category
Article
ISSN
0735-0015

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

Aggregation and the long run properties
Aggregation and the long run properties of economic time series
โœ Gรกbor Kล‘rรถsi; Lรกszlรณ Lovrics; Lรกszlรณ Mรกtyรกs ๐Ÿ“‚ Article ๐Ÿ“… 1995 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 493 KB

The aggregation problem is a well-known difficulty in macroeconometric modelling. It is frequently assumed in these models that the behaviour of economic agents is uniform. Thus the behaviour of a single agent characterizes the aggregate behaviour of the agents (representative agent). However, there

Detection of outliers and level shifts i
Detection of outliers and level shifts in time series: an evaluation of two alternative procedures
โœ Kjell Vaage ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 180 KB

A uniยฎed method to detect and handle innovational and additive outliers, and permanent and transient level changes has been presented by R. S. Tsay. N. S. Balke has found that the presence of level changes may lead to misidentiยฎcation and loss of test-power, and suggests augmenting Tsay's procedure