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An Approximate Wavelet MLE of Short and Long Memory Parameters

Jensen, Mark J. - EconWPA - 1998

By design a wavelet's strength rests in its ability to simultaneously localize a process in time-scale space. The wavelet's ability to localize a time series in time-scale space directly leads to the computational efficiency of the wavelet representation of a N X N matrix operator by allowing...

Persistent link: https://www.econbiz.de/10005119098

Maximum Likelihood Estimators for ARMA and ARFIMA Models: A Monte Carlo Study

Hauser, Michael A. - EconWPA - 1998

We analyze by simulation the properties of two time domain and two frequency domain estimators for low order autoregressive fractionally integrated moving average Gaussian models, ARFIMA (p,d,q). The estimators considered are the exact maximum likelihood for demeaned data, EML, the associated...

Persistent link: https://www.econbiz.de/10005119109

Overlaying Time Scales in Financial Volatility Data

Hillebrand, Eric - EconWPA - 2005

Apart from the well-known, high persistence of daily financial volatility data, there is also a short correlation …

Persistent link: https://www.econbiz.de/10005062571

The long memory story of ex post real interest rates. Can it be supported?

Venetis, Ioannis A.; Duarte, Agustin; Paya, Ivan - EconWPA - 2004

This papers finds evidence of fractional integration for a number of monthly ex post real interest rate series using the GPH semiparametric estimator on data from fourteen European countries and the US. However, we pose empirical questions on certain time series requirements that emerge from...

Persistent link: https://www.econbiz.de/10005407898

An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets

Jensen, Mark J. - EconWPA - 1997

In this paper we apply compactly supported wavelets to the ARFIMA(p,d,q) long-memory process to develop an alternative maximum likelihood estimator of the differencing parameter, d, that is invariant to the unknown mean and model specification, and to the level of contamination. We show that...

Persistent link: https://www.econbiz.de/10005407968

Persistence of Innovation: Stylised Facts and Panel Data Evidence

Peters, Bettina - EconWPA - 2005

individual heterogeneity in explaining the persistence of innovation. …

Persistent link: https://www.econbiz.de/10005118744

ASYMMETRY, PERSISTENCE AND NON-LINEARITY OF SPANISH UNEMPLOYMENT RATES

Garcia, Jose Maria Casado; Bielsa, Javier Trivez - EconWPA - 2004

The asymmetry or counter-cyclical nature and its influence on the persistence of the number of registered unemployed is …

Persistent link: https://www.econbiz.de/10005119367

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

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

inverse persistence term structure in the sense that the short term interest rates show the highest persistence, while the … long term rates are closer to the GBM's neutral persistence. The simulations of the identified MMAR are compared with the …

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

Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure

Pesavento, Elena; Rossi, Barbara - EconWPA - 2004

This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in hours. Estimations in levels or in first differences provide opposite conclusions. We rely on an agnostic procedure in which the researcher does not have to...

Persistent link: https://www.econbiz.de/10005556360

Expectations, Learning and Macroeconomic Persistence

Milani, Fabio - EconWPA - 2005

monetary DSGE models and endogenously generate realistic levels of persistence. The paper starts with an agnostic view …, developing a model that nests learning and some of the structural sources of persistence, such as habit formation in consumption … and inflation indexation, that are typically needed in monetary models with rational expectations to match the persistence …

Persistent link: https://www.econbiz.de/10005561139