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A Trend-Cycle(-Season) Filter: Prgoramme Code for Eviews, Excel, and MatLab

Mohr, Matthias - EconWPA - 2005

This zip archive contains implementations of the trend-cycle-season filter in Eviews, Excel, and MatLab. The trend-cycle-season filter is another univariate method to decompose a time series into a trend, a cyclical and a seasonal component: the Trend-Cycle filter (TC filter) and its extension,...

Persistent link: https://www.econbiz.de/10005062569

Understanding Brazilian Unemployment Structure: A Mixed Autoregressive Approach

Silva, Ricardo Gonçalves; Andrade, Marinho Gomes; … - EconWPA - 2004

The aims of this paper are estimate and forecast the Non-Accelerating Inflation Rate of Unemployment, or NAIRU, for Brazilian unemployment time series data. In doing so, we introduce a methodology for estimating mixed additive seasonal autoregressive (MASAR) models, by the Generalized Method of...

Persistent link: https://www.econbiz.de/10005407874

A Trend-Cycle(-Season) Filter

Mohr, Matthias - EconWPA - 2005

This paper proposes a new univariate method to decompose a time series into a trend, a cyclical and a seasonal component: the Trend-Cycle filter (TC filter) and its extension, the Trend-Cycle-Season filter (TCS filter). They can be regarded as extensions of the Hodrick-Prescott filter (HP...

Persistent link: https://www.econbiz.de/10005556341

Modelling currency in circulation in Malawi

simwaka, kisu - EconWPA - 2005

The purpose of this study is therefore twofold. First, to establish the claim that currency in circulation has been rising. Second, to empirically quantify and give a full account of the reasons determining the dynamics and volatility of currency in circulation. Using annual data for the...

Persistent link: https://www.econbiz.de/10005561195

Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?

Lopes, Artur C. B. da Silva - EconWPA - 2004

deterministic seasonality is present but it is neglected in the test regression. While for the random walk case the answer is … important conclusion is that the common perception that deterministic seasonality has nothing to do with the long-run properties …

Persistent link: https://www.econbiz.de/10005119125

The Behavior of HEGY Tests for Quarterly Time Series with Seasonal Mean Shifts

Lopes, Artur C. B. da Silva; Montañés, Antonio - EconWPA - 2004

This paper studies the behavior of the HEGY statistics for quarterly data, for seasonal autoregressive unit roots, when the analyzed time series is deterministic seasonal stationary but exhibits a change in the seasonal pattern. As a by-product we analyze also the HEGY test for the nonseasonal...

Persistent link: https://www.econbiz.de/10005119200

The Behaviour of the Malawi Kwcha in a Liberalized Environment

Simwaka, Kisu - EconWPA - 2005

The paper investigates some of the key factors that have influenced exchange rate movements since the foreign exchange market was liberalized in 1994. The paper adopts a general empirical specification of the exchange rate equation involving the interest rate and price differentials, as well as...

Persistent link: https://www.econbiz.de/10005561302

ON THE FORECASTABILITY OF ASEAN-5 STOCK MARKETS RETURNS USING TIME SERIES MODELS

Liew, Khim-Sen; Lim, Kian-Ping; Choong, Chee-Keong - EconWPA - 2003

. Time series models with GARCH errors are also considered. Based on formal econometrics tests, this study shows that the …

Persistent link: https://www.econbiz.de/10005076958

Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate

Jamdee, Sutthisit; Los, Cornelis A. - EconWPA - 2005

original empirical time series, but also with the simulated results from the corresponding Brownian Motion and GARCH processes … wavelet scalograms, we demonstrate that the MMAR outperforms both the GBM and GARCH(1,1) in time-frequency comparisons, in … attributes of the empirical distributions, while the simulated GBM and GARCH(1,1) processes cannot preserve the thick-tails, high …

Persistent link: https://www.econbiz.de/10005077018

Time-varying Correlations of Russian and U.S. Equity Returns

Jithendranathan, Thadavillil - EconWPA - 2004

In this paper we looked at the changes in correlations between the Russian an U.S. equity market returns from September 1995 to October 2003. The correlations were estimated using the “Dynamic Conditional Correlation Model.” We further investigated the economic factors that cause the changes...

Persistent link: https://www.econbiz.de/10005125510