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Issued date: 2003-10

Serie-No.: UC3M Working Papers. Statistics and Econometrics2003-14

Abstract:This paper compares the statistical properties of the records from i.i.d. time series with those of time series containing a single unit root. It is shown that there are important differences in both the limiting distributions and the convergence rates of the This paper compares the statistical properties of the records from i.i.d. time series with those of time series containing a single unit root. It is shown that there are important differences in both the limiting distributions and the convergence rates of the associated record counting processes. Since the record properties of i.i.d. time series are shared by a large class of stationary time series, the reported differences underline the possibility of using record-based statistics for robust resting procedures of the unit root hypothesis.+-





Author: Aparicio, Felipe M.

Source: http://e-archivo.uc3m.es


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Universidad Carlos III de Madrid Repositorio institucional e-Archivo http:--e-archivo.uc3m.es Departamento de Estadística DES - Working Papers.
Statistics and Econometrics.
WS 2003-10 On the record properties of integrated time series Aparicio, Felipe M. http:--hdl.handle.net-10016-202 Descargado de e-Archivo, repositorio institucional de la Universidad Carlos III de Madrid Working Paper 03-64 Statistics and Econometrics Series 14 Departamento de Estadística y Econometría Universidad Carlos III de Madrid October, 2003 Calle Madrid, 126 28903 Getafe (Spain) Fax (34) 91 624-98-49 ON THE RECORD PROPERTIES OF INTEGRATED TIME SERIES Felipe M.
Aparicio Acosta* Abstract This paper compares the statistical properties of the records from i.i.d.
time series with those of time series containing a single unit root.
It is shown that there are important differences in both the limiting distributions and the convergence rates of the associated record counting processes.
Since the record properties of i.i.d.
time series are shared by a large class of stationary time series, the reported differences underline the possibility of using record-based statistics for robust resting procedures of the unit root hypothesis. Keywords and Phrases: Records, extreme order statistics, counting processes, renewal theory, geometric distribution, integrated time series, test of unit roots. * Department of Statistics and Econometrics; Universidad Carlos III de Madrid, Getafe (Madrid), Spain.
E-mail: aparicio@est-econ.uc3m.es ON THE RECORD PROPERTIES OF INTEGRATED TIME SERIES FELIPE M.
APARICIO ACOSTA Abstract.
This paper compares the statistical properties of the records from i.i.d.
time series with those of time series containing a single unit root.
It is shown that there are important di¤erences in both the limiting distributions and the convergence rates of the associated record counting processes.
Since the record properties of i.i.d.
time series are shared by a large class of...





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