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Identificacion de un proceso ARIMA contaminado

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  • Castaño Velez, Elkin

Abstract

Muchas de las series de tiempo encontradas en el trabajo aplicado se hayan intervenidas, ya sea por la política económica, huelgas, errores de grabación, etc. En estos casos el procedimiento sugerido por Box y Jenkins 1970- para identificar el proceso ARIMA que dio origen a los datos, puede no arrojar resultados correctos. Este documento presenta una forma alternativa de identificación la cual consiste en realizar una etapa anterior al proceso sugerido por dichos autores y en la cual se tratan de identificar las intervenciones ocurridas sobre la serie para luego filtrarla usando las estructuras correspondientes a dichas intervenciones. La serie residual, producto de la filtración, es entonces empleada para identificar el proceso usando la metodología usual.

Suggested Citation

  • Castaño Velez, Elkin, 1995. "Identificacion de un proceso ARIMA contaminado," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 42, pages 49-70, Enero Jun.
    • Handle: RePEc:lde:journl:y:1995:i:42:p:49-70
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    Keywords

    Modelos economicos;

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