Semiparametric Modeling of Stochastic and Deterministic Trends and Fractional Stationarity

Beran, Jan; Feng, Yuanhua; Franke, Günter; Hess, Dieter; Ocker, Dirk

Semiparametric Modeling of Stochastic and Deterministic Trends and Fractional Stationarity

Files

Semiparametric_Modeling_of_Stochastic.pdf(1.36 MB)

Date

2003

Authors

Beran, Jan

Feng, Yuanhua

Franke, Günter

Hess, Dieter

Ocker, Dirk

Publication type

Contribution to a collection

Published in

Processes with Long-Range Correlations / Rangarajan, Govindan; Ding, Mingzhou (ed.). - Berlin, Heidelberg : Springer Berlin Heidelberg, 2003. - (Lecture Notes in Physics ; 621). - pp. 225-250. - ISBN 978-3-540-40129-2

Abstract

The distinction between stationarity, difference stationarity, deterministic trends as well as between short- and long-range dependence has a major impact on statistical conclusions, such as confidence intervals for population quantities or point and interval forecasts. SEMIFAR models introduced by [6] provide a unified approach that allows for simultaneous modelling of and distinction between deterministic trends, difference stationarity and stationarity with short- and long-range dependence. In this paper, recent results on the SEMIFAR models are summarized and their potential usefulness for economic time series analysis is illustrated by analyzing several commodities, exchange rates, the volatility of stock market indices and some simulated series. Predictions combine stochastic prediction of the random part with functional extrapolation of the deterministic part.

Subject (DDC)

330 Economics

Cite This

ISO 690

BERAN, Jan, Yuanhua FENG, Günter FRANKE, Dieter HESS, Dirk OCKER, 2003. Semiparametric Modeling of Stochastic and Deterministic Trends and Fractional Stationarity. In: RANGARAJAN, Govindan, ed., Mingzhou DING, ed.. Processes with Long-Range Correlations. Berlin, Heidelberg:Springer Berlin Heidelberg, pp. 225-250. ISBN 978-3-540-40129-2. Available under: doi: 10.1007/3-540-44832-2_13

BibTex

@incollection{Beran2003Semip-652,
  year={2003},
  doi={10.1007/3-540-44832-2_13},
  title={Semiparametric Modeling of Stochastic and Deterministic Trends and Fractional Stationarity},
  number={621},
  isbn={978-3-540-40129-2},
  publisher={Springer Berlin Heidelberg},
  address={Berlin, Heidelberg},
  series={Lecture Notes in Physics},
  booktitle={Processes with Long-Range Correlations},
  pages={225--250},
  editor={Rangarajan, Govindan and Ding, Mingzhou},
  author={Beran, Jan and Feng, Yuanhua and Franke, Günter and Hess, Dieter and Ocker, Dirk}
}

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