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An alternative approach for selecting TS vs. DS processes using the Nelson and Plosser time series

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University of Peiraeus   

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Spoudai - Journal of Economics and Business   

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An alternative approach for selecting TS vs. DS processes using the Nelson and Plosser time series (EL)
An alternative approach for selecting TS vs. DS processes using the Nelson and Plosser time series (EN)
Αγιακλόγλου, Χρήστος Ν.
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
2001-07-01
The initial study of Nelson and Plosser (1982) has been established in the literature as a point of reference and many research papers have worked on their data set trying to determine whether each U.S. series is generated by a trend stationary or by a difference stationary process. The objective of this paper is to re-examine the Nelson and Plosser data set using maximum likelihood estimation and to comment on the results based on the existing testing procedures. (EN)
Οικονομική (EL)
Οικονομετρικά υποδείγματα (EL)
Finance (EN)
Econometric models (EN)
Time-series analysis (EN)
Econometrics (EN)
Σπουδαί - Journal of Economics and Business
English
University of Piraeus (EN)
1105-8919
2241-424X
SPOUDAI - Journal of Economics and Business; Vol 51, No 3-4 (2001); 3-15 (EN)
Copyright (c) 2001 SPOUDAI - Journal of Economics and Business (EN)
University of Peiraeus
Spoudai - Journal of Economics and Business
Scientific Papers



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