phk
phknrocket1k
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Posts: 12,906
Political Matrix
E: 1.42, S: -1.22
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« on: December 12, 2009, 06:27:42 PM » |
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« edited: December 12, 2009, 06:45:10 PM by phknrocket1k »
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*A unit root is an attribute of a statistical model of a time series whose auto regressive parameter is one. In a data series y[t] modeled by: y(t+1) = y(t) + other terms, then the series y() has a unit root.
With respect to GDP growth it should be thought that a unit root or a break in the series could result in permanently lower GDP over time (a new trend arises because of a previous break).
*A time series process is trend stationary if after trends were removed it would be stationary, a process can can be decomposed into the sum of other time series as below, it is trend stationary:yt = gxt + st. Where g is a k-vector of constants, xt is a vector of deterministic trends, and st is a stationary time series.
More or less trend stationary says that dips below the overall trend will be "compensated" by going over the trend.
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