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The dynamics of real exchange rates : a reconsideration
Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011
While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving the process is largely build upon a priori economic belief rather than a thorough statistical modeling procedure. The two prevailing time series models, i.e. the exponential...
Persistent link: https://www.econbiz.de/10008908972
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Identification and estimation issues in exponential smooth transition autoregressive models
Buncic, Daniel - 2017
Exponential smooth transition autoregressive (ESTAR) models are widely used in the international finance literature, particularly for the modelling of real exchange rates. We show that the exponential function is ill-suited as a regime weighting function because of two undesirable properties....
Persistent link: https://www.econbiz.de/10011747829
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The effect of nonzero autocorrelation coefficients on the distributions of Durbin-Watson test estimator : three autoregressive models
Lee, Mei-Yu - In: Expert journal of economics 2 (2014) 3, pp. 85-99
This paper investigates the effect of the nonzero autocorrelation coefficients on the sampling distributions of the … same, moreover, the autocorrelation coefficients are negatively related with expected values, are inverted-U related with …
Persistent link: https://www.econbiz.de/10012061995
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Unit Root Test in a Threshold Autoregression : Asymptotic Theory and Residual-Based Block Bootstrap
Seo, Myunghwan - 2008
There is a growing literature on unit root testing in threshold autoregressive models. This paper makes two contributions to the literature. First, an asymptotic theory is developed for unit root testing in a threshold autoregression, in which the errors are allowed to be dependent and...
Persistent link: https://www.econbiz.de/10012771003
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Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models
Buncic, Daniel - 2017
Exponential smooth transition autoregressive (ESTAR) models have been widely used in the empirical international finance literature. We show that the exponential function used in ESTAR models is ill-suited as a regime weighting function because of two undesirable properties. The first is that it...
Persistent link: https://www.econbiz.de/10012969554
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Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models
Dufour, Jean-Marie - 2018
This paper develops tests of the null hypothesis of linearity in the context of autoregressive models with Markov-switching means and variances. These tests are robust to the identification failures that plague conventional likelihood-based inference methods. The approach exploits the moments of...
Persistent link: https://www.econbiz.de/10012923738
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Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models
Buncic, Daniel - 2018
Exponential smooth transition autoregressive (ESTAR) models are widely used in theinternational finance literature, particularly for the modelling of real exchange rates. Weshow that the exponential function is ill-suited as a regime weighting function because oftwo undesirable properties....
Persistent link: https://www.econbiz.de/10012928812
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Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models
Buncic, Daniel - 2018
Exponential smooth transition autoregressive (ESTAR) models are widely used in the international finance literature, particularly for the modelling of real exchange rates. We show that the exponential function is ill-suited as a regime weighting function because of two undesirable properties....
Persistent link: https://www.econbiz.de/10012931871
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A Threshold Autoregressive Model for Wholesale Electricity Prices
Rambharat, Bhojnarine - 2013
We introduce a discrete-time model for electricity prices, which accounts for both transitory spikes and temperature effects. The model allows for different rates of mean-reversion: One for weather events, one around price jumps, and another for the remainder of the process. We estimate the...
Persistent link: https://www.econbiz.de/10013078767
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Autocorrelate Your Assets or, It's Not All White Noise : A Practical Means for Generating Autocorrelated Time Series Data in Monte Carlo Simulations
Stock, Robert D. - 2020
compromises the quality of the prediction from the data. Simulations that do not take account of autocorrelation will not properly … model reality, as there is significant autocorrelation in many asset returns, for example in T-Bills and hedge fund … satisfy the statistics of any serial autocorrelation, as well as the actual (possibly non-Gaussian) joint probability …
Persistent link: https://www.econbiz.de/10012846361