NONLINEAR TRANSFORMATIONS OFFRACTIONAL INTEGRATED TIME SERIES－BY MONTE-CARLO SIMULATIONSNonlinear Transformations of Fractional Integrated Time Series－by Monte-Carlo Simulations
碩士 === 國立臺北大學 === 經濟學系 === 93 === We investigate the effect of nonlinear transformations on fractional integrated process and unit root tests with Monte-Carlo methods. Nonlinear transformations may change the original characteristics of I(d) process. Economists may misjudge the true series with tran...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/50948015808899969363 |