Sökning: "ARFIMA p"

Hittade 1 uppsats innehållade orden ARFIMA p.

  1. 1. In the long run, we're all mean reverting - Wavelet analysis on the fate of real exchange rates

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :David Berger; [2013]
    Nyckelord :Purchasing Power Parity; Long Run Memory; ARFIMA p; d; q ; Unit root tests; Wavelets; Business and Economics;

    Sammanfattning : This paper analyzes to what extent PPP holds in the long run. Firstly, standard unit root tests are used to test for stationarity. These results are then compared to the ones provided by a wavelet based OLS and an approximate ML estimator. LÄS MER