Posts Tagged ‘ Unit root ’

Unit root, or not ? is it a big deal ?

September 10, 2012
Unit root, or not ? is it a big deal ?

Consider a time series, generated using set.seed(1) E=rnorm(240) X=rep(NA,240) rho=0.8 X=0 for(t in 2:240){X=rho*X+E} The idea is to assume that an autoregressive model can be considered, but we don't know the value of the parameter. ...

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