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The individual income distribution in Argentina in the period 2000-2009. A unique source of non stationary data
income distribution Argentina 2000-2009 stationary data
2010/10/20
The economic crisis in Argentina around year 2002 provides a unique opportunity for Econophysics studies. The available data on individual income are analyzed to show that they correspond to non stati...
Segmentation algorithm for non-stationary compound Poisson processes
Segmentation algorithm non-stationary compound Poisson processes
2010/10/18
We introduce an algorithm for the segmentation of a class of regime switching processes. The segmentation algorithm is a non parametric statistical method able to identify the regimes (patches) of th...
Modeling the non-Markovian, non-stationary scaling dynamics of financial markets
Modeling the non-Markovian financial markets
2010/11/2
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several nat...
Integration I(d) of Nonstationary Time Series: Stationary and nonstationary increments
Integration Nonstationary Time Series Stationary nonstationary increments
2010/12/17
The method of cointegration in regression analysis is based on an assumption of stationary increments. Stationary increments with fixed time lag are called integration I(d). A class of regression mod...
Is the Real Exchange Rate Stationary? The Application of Similar Tests for a Unit Root in the Univariate and Panel Cases
Nonstationarity panel data PPP real exchange rate stationarity
2010/9/7
In this article we show that mean-adjusting panel and univariate time series unit root tests yield similar size when there is no drift. The conclusion of the empirics for Purchasing Power Parity is th...
TESTING FOR REGRESSION COEFFICIENT STABILITY WITH A STATIONARY AR(1) ALTERNATIVE
Regression Coefficient Stability Stationary AR(1) Alternative
2014/3/18
We discuss the problem of testing for constant versus time varying regression coefficients. Our alternative hypothesis allows the coefficients to follow a stationary AR(1) process...