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Flexible Seasonal Long Memory and Economic Time Series

Ooms, M. - Erasmus University Rotterdam, Econometric Institute - 1995

We discuss specification, frequency domain estimation and application of flexible fractionally integrated seasonal long memory time series models, which allow for 'chi-squared' (seasonal) unit root testing. We suggest periodogram regression and approximate ML estimation. We successfully apply a...

Persistent link: https://www.econbiz.de/10004972223

Convergence and Persistence of Left-Right Political Orientations in The Netherlands 1978-1995

Eisinga, R.; Franses, Ph.H.B.F.; Ooms, M. - Erasmus University Rotterdam, Econometric Institute - 1997

-Theory- Two theories about trends in left-right political orientations are juxtaposed: the persistence theory claiming that left-right orientations are highly resistant to change versus the irrelevance theory anticipating a move of mass publics towards the center of the left-right continuum....

Persistent link: https://www.econbiz.de/10004972274

Autoregression-Based Estimators for ARFIMA Models

Galbraith, John; Zinde-Walsh, Victoria - Centre Interuniversitaire de Recherche en Analyse des … - 2001

This paper describes a parameter estimation method for both stationary and non-stationary ARFIMA (p,d,q) models, based on autoregressive approximation. We demonstrate consistency of the estimator for -1/2 d 1, and in the stationary case we provide a Normal approximation to the finite-sample...

Persistent link: https://www.econbiz.de/10005100960

A nonlinear long memory model for US unemployment

Dijk, D.J.C. van; Franses, Ph.H.B.F.; Paap, R. - Erasmus University Rotterdam, Econometric Institute - 2000

Two important empirical features of monthly US unemployment are that shocks to the series seem rather persistent and that unemployment seems to rise faster in recessions than that it falls during expansions. To jointly capture these features of long memory and nonlinearity, respectively, we put...

Persistent link: https://www.econbiz.de/10005505011

Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Tansuchat, R.; Chang, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009

, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the … FIGARCH model of Baillie et al. (1996), FIEGACH model of Bollerslev and Mikkelsen (1996), and FIAPARCH model of Tse (1998 …), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of …

Persistent link: https://www.econbiz.de/10008570627

Ten Things We Should Know About Time Series

McAleer, M.J.; Oxley, L. - Erasmus University Rotterdam, Econometric Institute - 2010

Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing...

Persistent link: https://www.econbiz.de/10008484072

Aggregations and Marginalization of GARCH and Stochastic Volatility Models

MEDDAHI, Nour; RENAULT, Éric - Département de Sciences Économiques, Université de … - 1998

The GARCH and Stochastic Volatility paradigms are often brought into conflict as two competitive views of the … the model. To this respect, the debate between observable past information (in the GARCH spirit) versus unobservable … stochastic volatility (SR-SARV) model which remains true to the GARCH paradigm of ARMA dynamics for squared innovations but …

Persistent link: https://www.econbiz.de/10005353319

Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects.

DUFOUR, Jean-Marie; KHALAF, Lynda; BERNARD, Jean-Thomas - Département de Sciences Économiques, Université de … - 2001

) ARCH, GARCH, and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with : (i) one …

Persistent link: https://www.econbiz.de/10005729710

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude - Département de Sciences Économiques, Université de … - 2003

GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of … following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such …

Persistent link: https://www.econbiz.de/10005729824

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

BEAULIEU, Marie-Claude; DUFOUR, Jean-Marie; KHALAF, Lynda. - Département de Sciences Économiques, Université de … - 2002

tests for multivariate GARCH and mul-tivariate generalization of the well known variance ratio tests) and goodness of fit …

Persistent link: https://www.econbiz.de/10005729905