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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

Short Run and Long Run Causality in Time Series: Inference

Dufour, Jean-Marie; Pelletier, Denis; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2003

We propose methods for testing hypothesis of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...

Persistent link: https://www.econbiz.de/10005100843

Nonlinearity and Temporal Dependence

Chen, Xiaohong; Hansen, Lars P.; Carrasco, Marine - Centre Interuniversitaire de Recherche en Analyse des … - 2009

Nonlinearities in the drift and diffusion coefficients influence temporal dependence in scalar diffusion models. We study this link using two notions of temporal dependence: β−mixing and ρ−mixing. Weshow that β−mixing and ρ−mixing with exponential decay are essentially equivalent...

Persistent link: https://www.econbiz.de/10005100536

Testing Normality: A GMM Approach

Bontemps, Christian; Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002

In this paper, we consider testing marginal normal distributional assumptions. More precisely, we propose tests based on moment conditions implied by normality. These moment conditions are known as the Stein (1972) equations. They coincide with the first class of moment conditions derived by...

Persistent link: https://www.econbiz.de/10005100582

Structural Change Tests for Simulated Method of Moments

Ghysels, Eric; Guay, Alain - Centre Interuniversitaire de Recherche en Analyse des … - 1998

Simulation-based estimation methods have become more widely used in recent years. We propose a set of tests for structural change in models estimates via Simulated Method of Moments (see Duffie and Singleton (1993)). These tests extend the recent work of Andrews (1993) and Sowell (1996a, b)...

Persistent link: https://www.econbiz.de/10005100632

Content Horizons for Forecasts of Economic Time Series

Galbraith, John - Centre Interuniversitaire de Recherche en Analyse des … - 1999

We consider the problem of determining the horizon beyond which forecasts from time series models of stationary processes add nothing to the forecast implicit in the conditional mean. We refer to this as the content horizon for forecasts, and define a forecast content function at horizons s = 1,...

Persistent link: https://www.econbiz.de/10005100645

Testing for Structural Change in the Presence of Auxiliary Models

Ghysels, Eric; Guay, Alain - Centre Interuniversitaire de Recherche en Analyse des … - 2001

Several estimation procedures such as the Efficient Method of Moments (EMM) of Gallant and Tauchen (1996) and Indirect Inference procedure of Gouriéroux, Monfort and Renault (1993) involve two models, an auxiliary one and a model of interest. The role played by both models poses challenges and...

Persistent link: https://www.econbiz.de/10005100664

Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model

Bec, Frédérique; Salem, Mélika Ben; Carrasco, Marine - Centre Interuniversitaire de Recherche en Analyse des … - 2009

, we model the real exchange rate by a Multi-Regime Logistic Smooth Transition AutoRegression (MR-LSTAR), allowing for both … taux de change réel en recourant à une autorégression de type MR-LSTAR (Multi-Regime Logistic Smooth Transition … AutoRegression), qui permet d'observer la dynamique des modèles ESTAR (Exponential Smooth TAR) et SETAR (Self-Exciting Treshold …

Persistent link: https://www.econbiz.de/10005100696

Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression

Dufour, Jean-Marie; Farhat, Abdeljelil; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2005

This paper illustrates the usefulness of resampling based methods in the context of multiple (simultaneous) tests, with emphasis on econometric applications. Economic theory often suggests joint (or simultaneous) hypotheses on econometric models; consequently, the problem of evaluating joint...

Persistent link: https://www.econbiz.de/10005100723

On Stable Factor Structures in the Pricing of Risk

Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 1995

Much of the research describing the cross-sectional and time series behavior of asset returns can be characterized as a search for the relevant state variables and also a search for the relevant model specification. Ultimately the scope of such efforts is to find a satisfactory and stable asset...

Persistent link: https://www.econbiz.de/10005100814