Funcţia de autocorelaţie parţială ciclică şi aolicaţii la modelele SARMA clasice şi ierarhice

Daniel Ciuiu

Working Papers of Macroeconomic Modelling Seminar from Institute for Economic Forecasting

Abstract: Se consideră rata de schimb EURO/ RON (National Bamk of Romania Interactive Database) din 4 iulie 2005 până în 14 ianuarie 2020, 5 zile/ săptămână (3678 date zilnice). Vom determina, după staţionarizare, coeficienţii AR, MA, ARMA şi modelele SARMA clasice, dar şi cazurile particulare q =0, respectiv p =0. Analog procedăm în cazul SARMA generalizat, unde ciclul săptămânal de perioadă 5 este inclus într-un ciclu lunar de perioad ă 20.

Keywords: modele SARMA; Funcţia de autocorelaţie parţială ciclică (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2023-12
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