Brownian Motion or Mean Reversion? A Parameter Based Approach to Stochastic Process Selection

Data set and supporting files for article "Brownian Motion or Mean Reversion? A Parameter Based Approach to Stochastic Process Selection"

• ADF Tests log commodities SA (Excel and PDF files) – EViews outputs (18) of Augmented Dickey-Fuller tests run on all 9 Seasonally Adjusted time series (S A) with trend and intercept, and with only intercept.
• Commodities data historical x Inflation (Excel file) – Time series used in the paper in 3 versions:
  • In historical monthly averages prices US$,
  • In December 2018 US$ prices (with US inflation adjustment in appropriate tab),
  • In December 2018 US$ prices Seasonally Adjusted (S A) from EViews output.
• commodities log SA data Ev1 (Excel file) – for the log of 9 commodities time series in Dec 2018 values, after STL decomposition in EViews: original series, seasonally adjusted, seasonal factor and trend
• commodities log SA Regressions (Excel and PDF files) -  EViews outputs of OLS regression on log of seasonally adjusted times series: Dx = α + β x.
• GBMVaratAVG, GBMVaratPaths, MRMVaratAVG, MRMVaratPaths (Matlab codes) – Matlab codes for Variance ratio tests for GBM and MRM, sample paths (200) and averages of 2,500 paths.
• Series Seasonal data decomposition (PDF file) – graphical display of seasonal decomposition of log of 9 price series into: original series, trend, seasonal factor, remainder, and seasonally adjusted.
• Variance Ratio Comm SA (Excel file) - EViews outputs of variance ratio tests run of seasonal adjusted log of 9 price series in Dec 2018 values. 
• ADF Tests log commodities SA (Excel and PDF files) – EViews outputs (18) of Augmented Dickey-Fuller tests run on all 9 Seasonally Adjusted time series (S A) with trend and intercept, and with only intercept.
• Commodities data historical x Inflation (Excel file) – Time series used in the paper in 3 versions:
  • In historical monthly averages prices US$,
  • In December 2018 US$ prices (with US inflation adjustment in appropriate tab),
  • In December 2018 US$ prices Seasonally Adjusted (S A) from EViews output.
• commodities log SA data Ev1 (Excel file) – for the log of 9 commodities time series in Dec 2018 values, after STL decomposition in EViews: original series, seasonally adjusted, seasonal factor and trend
• commodities log SA Regressions (Excel and PDF files) -  EViews outputs of OLS regression on log of seasonally adjusted times series: Dx = α + β x.
• GBMVaratAVG, GBMVaratPaths, MRMVaratAVG, MRMVaratPaths (Matlab codes) – Matlab codes for Variance ratio tests for GBM and MRM, sample paths (200) and averages of 2,500 paths.
• Series Seasonal data decomposition (PDF file) – graphical display of seasonal decomposition of log of 9 price series into: original series, trend, seasonal factor, remainder, and seasonally adjusted.
• Variance Ratio Comm SA (Excel file) - EViews outputs of variance ratio tests run of seasonal adjusted log of 9 price series in Dec 2018 values.