Automatic Statistical Analysis of Bivariate Non-Stationary Time Series

H. Ombao, J. Raz, R. von Sachs and B. Malow

Working Papers from Catholique de Louvain - Institut de statistique

Abstract: We propose a new method, the "Auto-SLEX" method, for analyzing bivariate non-stationary processes. The Auto-SLEX method is a procedure that automatically segments the time series into approximatively stationary blocks and automatically estimates the time-varying spectra and coherence.

Keywords: STATISTICAL ANALYSIS; TIME SERIES; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C20 C40 (search for similar items in EconPapers)
Pages: 31 pages
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:fth:louvis:9908

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