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.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Discrimination between deterministic trend and stochastic trend processes|
|Keywords:||Autocorrelation; Classification; Determinist trend; Kullback-Leibler; Periodogram; Stochastic trend; Time series|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C19 - Other
|Depositing User:||Jorge Caiado|
|Date Deposited:||09. Mar 2007|
|Last Modified:||09. Mar 2015 23:17|
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