Time series with strong dependence 论文

详细信息

发表期刊/会议

Cambridge University Press eBooks

发表日期

2008-12-02

发表年份

2008

摘要

Much econometric data are collected as time series. It is rarely felt reasonable to assume that an observed time series realizes a sequence of independent and identically distributed (iid) random variables. As a result, a huge variety of parametric, semi-parametric, and non-parametric models has been proposed to describe aspects of the behavior of time series. These models have found several uses. They have been used in forecasting. They have been used to measure the dependence between economic variables. They have been used to test hypotheses propounded by economic theory. In a more indirect way, they have been used to describe latent, unobserved, variates, which may be of economic interest in themselves, or which, as “disturbances,” have properties which are relevant to the development of robust and efficient rules of statistical inference.