Comparison of Box-Jenkins and Bonn Monetary Model Prediction by Manmatha Nath Bhattacharyya

By Manmatha Nath Bhattacharyya

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Extra resources for Comparison of Box-Jenkins and Bonn Monetary Model Prediction Performance

Sample text

K m are integers. of series indepencence U follows Under the null hypothesis x2 (m). Thus the hypothesis of series independence can be tested by comparing the calculated value of U with the tabulated value of x 2 (m) at a specified level of significance. It may further be noted that according to the formulation of U given above, we may consider any finite set of cross-correlations, all at positive lags, all at negative lags, consecutive or dispersed, to construct the test statistic. But as followed by Pierce (1977), a sensible approach in a situation where no snecific direction of causality is assumed a priori, would be to consider a set of lags k such that -N < k < H.

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