Showing 1 - 10 of 64
This paper considers the problem of testing against stochastic trend and seasonality in the presence of structural breaks and unit roots at frequencies other than those directly under test, which we term unattended breaks and unattended unit roots respectively. We show that under unattended...
Persistent link: https://www.econbiz.de/10005113521
The paper considers likelihood ratio (LR) tests of stationarity, common trends and cointegration for multivariate time series. As the distribution of these tests is not known, a bootstrap version is proposed via a state space representation. The bootstrap samples are obtained from the Kalman...
Persistent link: https://www.econbiz.de/10009019261
Tests of parameter instabilities are likely to have low power when change-points occur towards the end of the sample. This paper considers various modifications of existing tests and introduces new statistics designed to have high power in such circumstances. The properties of both Wald-type...
Persistent link: https://www.econbiz.de/10011099667
The paper considers tests of seasonal integration and cointegration for multivariate time series. The locally best invariant (LBI) test of the null hypothesis of a deterministic seasonal pattern against the alternative of seasonal integration is derived for a model with Gaussian i.i.d....
Persistent link: https://www.econbiz.de/10005609344
This paper considers the problem of testing for the presence of stochastic trends in multivariate time series with structural breaks. The breakpoints are assumed to be known. The testing framework is the multivariate Locally Best Invariant test and the common trend test of Nyblom and Harvey.
Persistent link: https://www.econbiz.de/10005780687
This paper considers the problem of testing for the presence of stochastic trends in multivariate time series with structural breaks. The breakpoints are assumed to be known. The testing framework is the multivariate Locally Best Invariant test and the common trend test of Nyblom and Harvey...
Persistent link: https://www.econbiz.de/10005113652
We consider how unit root and stationarity tests can be used to study the convergence properties of prices and rates of inflation. Special attention is paid to the issue of whether a mean should be extracted in carrying out unit root and stationarity tests and whether there is an advantage to...
Persistent link: https://www.econbiz.de/10005111570
We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail how these techniques are employed. Some empirical applications illustrate the main issues.
Persistent link: https://www.econbiz.de/10005609326
Large and growing international financial linkages between East and West have altered the nature of the stability risks faced by European banking systems, increasing susceptibility to contagion. This paper aims to identify potential risks of cross-border contagion using a sample of large Western...
Persistent link: https://www.econbiz.de/10008865939
We look at business survey data on Italian internationalized firms’ characteristics and performances since the outbreak of the 2008 crisis until 2012. Among Italian firms with 20 employees or more, an increasing share (from 7.1 to 13.2% between 2006 and 2011) owns a foreign productive unit....
Persistent link: https://www.econbiz.de/10011206250