Nearly redundant parameters and measures of persistence in economic time series
β Scribed by Peter K. Clark
- Publisher
- Elsevier Science
- Year
- 1988
- Tongue
- English
- Weight
- 862 KB
- Volume
- 12
- Category
- Article
- ISSN
- 0165-1889
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract A flexible decomposition of a time series into stochastic cycles under possible nonβstationarity is specified, providing both a useful data analysis tool and a very wide model class. A Bayes procedure using Markov Chain Monte Carlo (MCMC) is introduced with a model averaging approach wh
a b s t r a c t Several measurements and techniques have been developed to detect dynamic mutuality and synchronicity of time series in econometrics. This study aims to compare the performances of five methods, i.e., linear regression, dynamic correlation, Markov switching models, concordance index