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Observaciones anómalas y contrastes de raíz unitaria en datos semanales

HERNÁNDEZ, CÁCERES; Juan, José; CANO FERNÁNDEZ, … - In: Estudios de Economía Aplicada 17 (2001) Abril, pp. 85-105

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

Nonparametric rank tests for non-stationary panels

Pedroni, Peter L.; Vogelsang, Timothy J.; Wagner, Martin; … - In: Journal of Econometrics 185 (2015) 2, pp. 378-391

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

Rank tests for short memory stationarity

Pelagatti, Matteo M.; Sen, Pranab K. - In: Journal of Econometrics 172 (2013) 1, pp. 90-105

We propose a rank-test of the null hypothesis of short memory stationarity possibly after linear detrending.

Persistent link: https://www.econbiz.de/10010594957

The Nature of Trends in the Per Capita Real GDP of Gulf Cooperation Council (GCC) Countries: Some Evidence and Implications

Genc, Ismail H; Darayseh, Musa; AbuAl-Foul, Bassam - In: Journal of Developing Areas 45 (2011) Single, pp. 19-33

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

The Nature of Trends in the Per Capita Real GDP of Gulf Cooperation Council (GCC) Countries: Some Evidence and Implications

Genc, Ismail H; Darayseh, Musa; AbuAl-Foul, Bassam - In: Journal of Developing Areas 45 (2011) 1, pp. 19-33

Persistent link: https://www.econbiz.de/10011097040

Estimating United States Phillips curves with expectations consistent with the statistical process of inflation

Russell, Bill; Chowdhury, Rosen Azad - In: Journal of Macroeconomics 35 (2013) C, pp. 24-38

‘Modern’ Phillips curve theories predict inflation is an integrated, or near integrated, process. However, inflation appears bounded above and below in developed economies and so cannot be ‘truly’ integrated and more likely stationary around a shifting mean. If agents believe inflation...

Persistent link: https://www.econbiz.de/10010617304

Jointly testing linearity and nonstationarity within threshold autoregressions

Pitarakis, Jean-Yves - In: Economics Letters 117 (2012) 2, pp. 411-413

A Wald type test of the joint null hypothesis of linearity and nonstationarity within a threshold autoregressive process of order one with deterministic components is developed. Its limiting distribution is derived and its local power and finite sample properties investigated.

Persistent link: https://www.econbiz.de/10010580447

Chapter 13 Forecasting Seasonal Time Series

Ghysels, Eric; Osborn, Denise R.; Rodrigues, Paulo M.M. - In: Handbook of economic forecasting : Band 1, (pp. 659-711). 2006

integrated models and deterministic seasonality models. As well as examining how forecasts are computed in each case, the …. Section 3 discusses less traditional models, specifically nonlinear seasonal models and models for seasonality in variance …. Such nonlinear models primarily concentrate on interactions between seasonality and the business cycle, either using a …

Persistent link: https://www.econbiz.de/10014023693

The Use of Predictive Regressions at Alternative Horizons in Finance and Economics

Mark, Nelson; Sul, Donggyu - National Bureau of Economic Research (NBER) - 2004

When a k period future return is regressed on a current variable such as the log dividend yield, the marginal significance level of the t-test that the return is unpredictable typically increases over some range of future return horizons, k. Local asymptotic power analysis shows that the power...

Persistent link: https://www.econbiz.de/10005832272

Robust Covariance Matrix Estimation with Data-Dependent VAR Prewhitening Order

Denhaan, Wouter; Levin, Andrew Theo - National Bureau of Economic Research (NBER) - 2000

This paper analyzes the performance of heteroskedasticity-and-autocorrelation-consistent (HAC) covariance matrix estimators in which the residuals are prewhitened using a vector autoregressive (VAR) filter. We highlight the pitfalls of using an arbitrarily fixed lag order for the VAR filter, and...

Persistent link: https://www.econbiz.de/10005832289