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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
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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
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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
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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
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
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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
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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
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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
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Chapter 13 Forecasting Seasonal Time Series
Ghysels, Eric; Osborn, Denise R.; Rodrigues, Paulo M.M. - 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
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Selected macroeconomic variables and stock market movements : empirical evidence from Thailand
Forson, Joseph Ato; Janrattanagul, Jakkaphong - In: Contemporary economics 8 (2014) 2, pp. 157-174
This paper investigates and analyzes the long-run equilibrium relationship between the Thai stock Exchange Index (SETI) and selected macroeconomic variables using monthly time series data that cover a 20-year period from January 1990 to December 2009. The following macroeconomic variables are...
Persistent link: https://www.econbiz.de/10010406272
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Identification and critical time forecasting of real estate bubbles in the USA and Switzerland
Ardila, Diego; Sanadgol, Dorsa; Cauwels, Peter; … - 2014
We present a hybrid model for diagnosis and critical time forecasting of real estate bubbles. The model combines two elements: 1) the Log Periodic Power Law (LPPL) model to describe endogenous price dynamics originated from positive feedback loops between economic agents; and 2) a diffusion...
Persistent link: https://www.econbiz.de/10010411858