Procedury testowania w badaniu stacjonarności szeregów czasowych procesów ekonomicznych
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Date
1982
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Wydział Prawa i Administracji UAM
Title alternative
Testing in Stationarity Examination of Economic Processes
Abstract
The aim of this paper is to present some useful techniques of stationarity
analysis of time — series concerning economic processes. According to the first
technique time — series is divided into two parts and then t-test and F-test are
used for each of them. If a zero-hypothesis of statistically nonessential differences
between compared parameters accepted, stationarity of time — series is proved.
It means that mean value and variance of this stochastic process are time —
independent.
... According to the second proposed technique a hypothesis of consistency of
distributions in both parts of time — serie is verified by means of χ2 — test and
Kolomogorov-Smirnov-test. Testing procedures are based on the empirical data
on market processes in the GDR
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Digitalizacja i deponowanie archiwalnych zeszytów RPEiS sfinansowane przez MNiSW w ramach realizacji umowy nr 541/P-DUN/2016
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Citation
Ruch Prawniczy, Ekonomiczny i Socjologiczny 44, 1982, z. 2, s. 99-110