3/18/2024 0 Comments White test eviews![]() A random walk has no constant mean and no constant variance (these change whenever the sample period is shortened or lengthened). Is it? We examine a scatter plot and formal OLS regression estimate.Ī random walk is non-stationary: innovations are permanent. Of course, if we generate a second white noise process, we expect it to be completely unrelated to the first. The unit root test (Augmented Dickey Fuller test with 4 lags, no constant term, no trend) formally rejects the null-hypothesis of nonstationarity i.e. To see the stationarity of a white noise process, we generate one and examine it. We define a sequence to be a white-noise process if it is characterized by
0 Comments
Leave a Reply. |
AuthorWrite something about yourself. No need to be fancy, just an overview. ArchivesCategories |