Ciuiu, Daniel (2013): Qualitative variables and their reduction possibility. Application to time series models. Published in: Proceedings of the XI Balkan Conference on Operational Research, Belgrade & Zlatibor, 7-11 September, 2013 (November 2013): pp. 782-791.
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Abstract
In this paper we will study the influence of qualitative variables on the unit root tests for stationarity. For the linear regressions involved the implied assumption is that they are not influenced by such qualitative variables. For this reason, after we have introduced such variables, we check first if we can remove some of them from the model. The considered qualitative variables are according the corresponding coefficient (the intercept, the coefficient of Xt −1 and the coefficient of t ), and on the different groups built tacking into account the characteristics of the time moments.
Item Type: | MPRA Paper |
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Original Title: | Qualitative variables and their reduction possibility. Application to time series models |
Language: | English |
Keywords: | Qualitative variables, Dickey-Fuller, ARIMA, GDP, homogeneity. |
Subjects: | C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics |
Item ID: | 59284 |
Depositing User: | Daniel Ciuiu |
Date Deposited: | 18 Oct 2014 13:42 |
Last Modified: | 17 Oct 2019 08:21 |
References: | [1] Brockwell, P.J. & Davis, R.A. (2002). Springer Texts in Statistics; Introduction to Time Series and Forecasting. Springer-Verlag. [2] Ciucu, G. & Craiu, V. (1974). Inferenta statistica. Bucharest: Ed. Didactica si Pedagogica (English: Statistical Inference). [3] Jula, D. (2003). Introducere în econometrie. Bucharest: Professional Consulting (English: Introduction to Econometrics). [4] Dobrescu, E. (2010). Macromodel Simulations for the Romanian Economy. Romanian Journal of Economic Forecasting, XIII(2), 7-28. [5] Popescu, Th. (2000). Serii de timp; Aplicatii la analiza sistemelor. Bucharest: Editura Tehnica (English: Time Series; Aplications to Systems’ Analysys). [6] Vaduva, I. (2004). Modele de simulare. Bucharest University Printing House. [7] TEMPO-Online database of National Institute of Statistics. Aviable at < www.insse.ro > [Accessed February 22 2013]. |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/59284 |