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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: 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

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

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

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

Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes

Wagner, Niklas; Marsh, Terry A. - EconWPA - 2004

properties of adaptive tail index estimators under the class of student-t marginal distribution functions including GARCH and …

Persistent link: https://www.econbiz.de/10005407899

One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -

Kaiser, Thomas - EconWPA - 1996

factor models with GARCH dynamics (GARCH(1,1)-M, IGARCH(1,1)-M, Nonlinear Asymmetric GARCH(1,1)-M and Glosten …-Jagannathan-Runkle GARCH(1,1)-M) and three different distributions for the disturbances (Normal, Student's t and Generalized Error Distribution … compared with forecasts based on individual GARCH(1,1)-M models, static factor models, naive, random walk and exponential …

Persistent link: https://www.econbiz.de/10005407963

Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading.

Cortazar, Gonzalo; Bernales, Alejandro; Beuermann, Diether - EconWPA - 2005

This paper deals with the issue of calculating daily Value-at-Risk (VaR) measures within an environment of thin trading. Our approach focuses on fixed income portfolios with low frequency of transactions in which the missing data problem makes VaR measures difficult to calculate. We propose and...

Persistent link: https://www.econbiz.de/10005413068