Showing 1 - 10 of 4,161
This paper aims at improved accuracy in testing for long-run predictability in noisy series, such as stock market returns. Long-horizon regressions have previously been the dominant approach in this area. We suggest an alternative method that yields more accurate results. We find evidence of...
Persistent link: https://www.econbiz.de/10010939524
In this paper we attempt to determine whether the per capita real incomes of GCC countries are trend or difference stationary. The distinction is crucial for at least three reasons: first pertains to forecasting; while a trend stationary series tends to return to its long run steady state...
Persistent link: https://www.econbiz.de/10011096494
In this paper we attempt to determine whether the per capita real incomes of GCC countries are trend or difference stationary. The distinction is crucial for at least three reasons: first pertains to forecasting; while a trend stationary series tends to return to its long run steady state...
Persistent link: https://www.econbiz.de/10011097040
We develop a set of nonparametric rank tests for non-stationary panels based on multivariate variance ratios which use untruncated kernels. As such, the tests do not require the choice of tuning parameters associated with bandwidth or lag length and also do not require choices with respect to...
Persistent link: https://www.econbiz.de/10011190711
Hylleberg y otros (1990) desarrollaron un procedimiento de contraste de raíces unitarias estacionales para datos trimestrales. Dicho procedimiento fue extendido a series semanales por Cáceres (1996). Pues bien, en este trabajo se examinan los efectos de la presencia de observaciones anómalas...
Persistent link: https://www.econbiz.de/10005814449
We propose a rank-test of the null hypothesis of short memory stationarity possibly after linear detrending.
Persistent link: https://www.econbiz.de/10010594957
This paper examines whether there is a long-run stable equilibrium relationship between advertising and sales across the market segments of the UK car industry over the period 1971-2001. In order to achieve this goal, we allow for structural breaks in the series using cointegration techniques....
Persistent link: https://www.econbiz.de/10005437911
This article examines the dynamic relationship among the stock market and macroeconomic factors for the stock market of Nepal. The study documented both short-run and long-run interdependence among stock index and some macroeconomic variables. The estimated results suggest unidirectional...
Persistent link: https://www.econbiz.de/10011135944
A novel procedure is applied to test for switches between hysteresis and the natural rate theory over more than a century of UK and USA unemployment data. For both the countries we see a period conforming to hysteresis starting in the early 1920s for the UK and 1930 for USA.
Persistent link: https://www.econbiz.de/10011263414
This paper introduces a new family of portmanteau tests for serial correlation. Using the wavelet transform, we decompose the variance of the underlying process into the variance of its low frequency and of its high frequency components and we design a variance ratio test of no serial...
Persistent link: https://www.econbiz.de/10011077599