Correlograms for non-stationary autoregressions.
Analysis of economic time series often involves correlograms and partial correlograms as graphical descriptions of temporal dependence. Two methods are available for computing these statistics: one based on autocorrelations and the other on scaled autocovariances. For stationary time series the resu...
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| Format: | Working paper |
| Language: | English |
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Nuffield College (University of Oxford)
2003
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