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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

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

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

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

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

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. - 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

A Cointegration Analysis of Car Advertising and Sales Data in the Presence of Structural Change

Esteve, Vicente; Requena, Francisco - In: International Journal of the Economics of Business 13 (2006) 1, pp. 111-128

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

Dynamic Relationship among the Stock Market and the Macroeconomic Factors

Bhattarai, Ram Chandra; Joshi, Nayan Krishna - In: South Asia Economic Journal 10 (2009) 2, pp. 451-469

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