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Statistical analysis of some nonstationary time series. (English) Zbl 0973.91070
Strøom, Steinar (ed.), Econometrics and economic theory in the 20th century. The Ragnar Frisch centennial symposium. Papers from the symposium held in Oslo, Norway, March 3-5, 1995. Cambridge: Cambridge University Press. Econ. Soc. Monogr. 31, 433-457 (1998).
This is a concise survey of recent results on the statistical analysis of integrated processes with particular emphasis on \(I(2)\) processes. The exposition covers the usual modelling and inference topics for integrated processes at an accessible level and outlines some unsolved problems.
For the entire collection see [Zbl 0944.00092].
91B84 Economic time series analysis
91-02 Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance