About this document
Stochastic vs Deterministic Trends in Time Series by SDB_Econometrics is a document available to read on EtoBox.
This document discusses key concepts in time series econometrics such as stationarity, unit roots, random walks, trends, and cointegration. It defines stationary and nonstationary stochastic processes. A stationary process has constant mean and variance over time, while these change for a nonstationary process. A random walk is a type of nonstationary process where the value at each time period depends on the previous period plus a random shock. The document contrasts random walks with and without drift. It
- Author
- SDB_Econometrics
- Language
- EN