The Stationary - NonStationary Process and The Variable Roots Difference Equations
Publish place: Iranian Economic Review Journal، Vol: 7، Issue: 7
Publish Year: 1381
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_IER-7-7_004
تاریخ نمایه سازی: 21 مهر 1402
Abstract:
Stochastic, processes can be stationary or nonstationary. They depend on the magnitude of shocks. In other words, in an auto regressive model of order one, the estimated coefficient is not constant. Another finding of this paper is the relation between estimated coefficients and residuals. We also develop a catastrophe and chaos theory for change of roots from stationary to a nonstationary one and vice versa.