Research Article
Coping with Nonstationarity in Categorical Time Series
Table 3
MSE times 1000 for the estimate of for different degrees of stationarity.
| | Model | True value of q | | | 0.1 | 0.3 | 0.5 | 0.7 |
| | Nonstationary | varies | 90 | 55 | 30 | 11 | | D(1) stationary | | 4 | 5 | 4 | 3 | | 5 | 6 | 6 | 5 | | C(1) stationary | varies | 15 | 11 | 8 | 5 | | Detrended to C(1) | varies | 9 | 8 | 6 | 7 |
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