Ashley, Richard A.; Verbrugge, Randal J. - In: International Journal of Data Analysis Techniques and … 1 (2009) 3, pp. 242-274
It is often unclear whether time series displaying substantial persistence should be modelled as a vector autoregression in levels (perhaps with a trend term) or in differences. The impact of this decision on inference is examined here using Monte Carlo simulation. In particular, the size and...
