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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

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

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

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

GARCH Diagnosis with Portmanteau Bicorrelation Test: An Application on the Malaysia's Stock Market

Lim, K.P.; Hinich, M.J.; Liew, K.S. - EconWPA - 2003

diagnostic tool to determine the adequacy of the GARCH model in describing the returns generating process of Malaysia’s stock …, while GARCH model is commonly applied to financial time series, this model cannot provide an adequate characterization for … the presence of episodic non- stationarity in the data, which could not be captured by any kind of ARCH or GARCH model …

Persistent link: https://www.econbiz.de/10005134637

APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF AGRICULTURAL COMMODITIES

Guida, Tony; Matringe, Olivier - EconWPA - 2005

This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare … containing a genuine stock index also. The implied goal is to find out if the GARCH models are more fitted for stock indices than …

Persistent link: https://www.econbiz.de/10005134650

Market Reaction and Volatility in the Brazilian Stock Market

Medeiros, Otavio Ribeiro De; Matsumoto, Alberto Shigueru - EconWPA - 2004

measuring abnormal returns by OLS, we used ARCH and GARCH models over 70% of the sample. The results show signs of insider … the issue. The results are consistent with the extant empirical literature and show that ARCH/GARCH estimation of abnormal …

Persistent link: https://www.econbiz.de/10005134785