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

Author

Listed:
  • Daniel Ciuiu

    (Technical University of Civil Engineering, Bucharest and Centre for macroeconomic Modelling, NIER, Romanian Academy)

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.

Suggested Citation

  • Daniel Ciuiu, 2023. "Funcţia de autocorelaţie parţială ciclică şi aolicaţii la modelele SARMA clasice şi ierarhice," Working Papers of Macroeconomic Modelling Seminar 233002, Institute for Economic Forecasting.
    • Handle: RePEc:rjr:wpmems:233002
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    More about this item

    Keywords

    modele SARMA; Funcţia de autocorelaţie parţială ciclică;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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