Sökning: "arfima"

Hittade 2 uppsatser innehållade ordet arfima.

  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

  2. 2. Is there hysteresis in unemployment rates?

    Kandidat-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Niclas Lavesson; [2012]
    Nyckelord :Hysteresis; unemployment; ARFIMA; fractional integration; time series; Mathematics and Statistics;

    Sammanfattning : This paper investigates if there is hysteresis in unemployment rates for 8 OECD countries. Univariate unit root tests (ADF and KPSS tests) are performed as an initial analysis of the unemployment rates. These tests suggest that the hysteresis hypothesis is true. LÄS MER