Logo
Munich Personal RePEc Archive

Discrimination between deterministic trend and stochastic trend processes

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.

[thumbnail of MPRA_paper_2076.pdf]
Preview
PDF
MPRA_paper_2076.pdf

Download (104kB) | Preview

Abstract

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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.