Properties of STUR Processes in the Framework of Chaos Theory

• Autorzy: Witold Orzeszko
• Języki publikacji: EN

Abstrakty

EN

Stochastic unit-root processes - STUR have a root varying around unity, so they can be stationary for some periods and nonstationary for the others. Since properties of STUR processes make them quite natural in modeling of economic time series, an appropriate identification method of stochastic unit-roots is required. However, standard tests for a unit root can not distinguish between STUR processes and integrated ones. The aim of this paper is to examine if chaos theory provides methods of time series analysis which can be used to stochastic unit-roots identification.(fragment of text)

Słowa kluczowe

EN

Chaos theory; Stochastic processes; Time-series analysis; Econometric modeling

PL

Teoria chaosu; Procesy stochastyczne; Analiza szeregów czasowych; Modelowanie ekonometryczne

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2006
• Tom: 7
• Strony: 189--198

Twórcy

autor

Witold Orzeszko

• Nicolaus Copernicus University in Toruń, Poland

Bibliografia

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