Experience in the application of unit roots and fractional difference models and tests

One of the most important aspects in analyzing economic time series is to specify whether the observed series is generated by a stationary or non-stationary process, since most macroeconomic variables could be generated by a unit autoregressive root process. This determination as to whether or not a series should be differenced is known as the unit root test. In other words, if a time series in non-stationary, then in the presence of a unit autoregressive root, it can be converted to a stationary and invertible process by first differencing.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Economics

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2011

Author dc:creator

• Agiakloglou, Christos N.

Contributors dc:contributor

• Newbold, Paul

• Statistics
• Economics
• Economic Theory

Statement dc:rights

• Copyright 1992 Agiakloglou, Christos N.

Language dc:language

eng

Identifier

AAI9305446
(UMI)AAI9305446

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/19013