Similar Search Results

The Ifo industry growth accounting database

Roehn, Oliver; Eicher, Theo S.; Strobel, Thomas - 2007

In this paper we present a new database that allows deep industry-level growth accounting from 1991-2003. The database allows for the first complete analysis of the German industry performance drivers based on the contributions of 12 asset types in 52 different industries. The industry sources...

Persistent link: https://www.econbiz.de/10010264067

Cointegration analysis with mixed-frequency data

Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter A. - 2007

maximum likelihood estimation of the parameters in the model, we use an expectation maximization algorithm based on the state …

Persistent link: https://www.econbiz.de/10010264085

A multivariate long-memory model with structural breaks

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2007

This paper introduces a multivariate long-memory model with structural breaks. In the proposed framework, time series exhibit possibly fractional orders of integration which are allowed to be different in each subsample. The break date is endogenously determined using a procedure which minimises...

Persistent link: https://www.econbiz.de/10010264093

Deterministic versus stochastic seasonal fractional integration and structural breaks

Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - 2007

This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that the suggested...

Persistent link: https://www.econbiz.de/10010264124

Fiscal shocks and real exchange rate dynamics: some evidence for Latin America

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2008

This paper analyses the effects of fiscal shocks using a two-country macroeconomic model for output, labour input, government spending and relative prices which provides the orthogonality restrictions for obtaining the structural shocks. Dynamic simulation techniques are then applied, in...

Persistent link: https://www.econbiz.de/10010264312

A note on the time series measure of conservatism

Brauer, Sebastian; Westermann, Frank - 2010

Asymmetric persistence of accounting income is often tested in a regression of changes in earnings on lagged changes in earnings, including an interaction term for negative changes (see Basu [1997] or Ball et al. [2009] for a recent overview). In this note we propose an alternative, but closely...

Persistent link: https://www.econbiz.de/10010266098

Fractional integration and cointegration in US financial time series data

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2011

This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...

Persistent link: https://www.econbiz.de/10010274802

The weekly structure of US stock prices

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010

In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...

Persistent link: https://www.econbiz.de/10010274822

Forecasting random walks under drift instability

Pesaran, Mohammad Hashem; Pick, Andreas - 2008

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10010276222

Variable selection and inference for multi-period forecasting problems

Pesaran, Mohammad Hashem; Pick, Andreas; Timmermann, Allan - 2009

direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …

Persistent link: https://www.econbiz.de/10010276226