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Long-run and Cyclical Dynamics in the US Stock Market

Gil-Alana, L.A.; caporale, G.M. - Econometric Society - 2004

This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques. We implement a version of the tests of Robinson (1994a), which enables one to consider unit (or fractional) roots both at the zero (long-run) and at the cyclical...

Persistent link: https://www.econbiz.de/10005063571

Testing for structural change in regression with long memory processes

Lazarova, Stepana - Econometric Society - 2004

The paper considers tests for structural change in time series regression models where both regressors and residuals may exhibit long range dependence. The limiting distribution of the test statistic depends on unknown parameters and is approximated by a bootstrap procedure. The asymptotic...

Persistent link: https://www.econbiz.de/10005063603

How Can We Define the Long Memory Concept? An Econometric Survey

Guegan, Dominique - Econometric Society - 2004

arise when empirical autocorrelation function of a short memory process decreases in an hyperbolic way. …

Persistent link: https://www.econbiz.de/10005063626

Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices

Ooms, Marius; Carnero, M. Angeles; Koopman, Siem Jan - Econometric Society - 2004

In this paper we consider different periodic extensions of regression models with autoregressive fractionally integrated moving average disturbances for the analysis of daily spot prices of electricity. We show that day-of-the-week periodicity and long memory are important determinants for the...

Persistent link: https://www.econbiz.de/10005063668

Long Memory in Import and Export Price Inflation and Persistence of Shocks to the Terms of Trade

TAN, G. K. Randolph - Econometric Society - 2004

Long memory models have been successfully used to investigate the dynamic time-series behavior of inflation rates based on the CPI and WPI. However, almost no attention has been paid to import and export price inflation, nor to the terms of trade which they make up. This article investigates the...

Persistent link: https://www.econbiz.de/10005702737

Potential Pitfalls in Determining Multiple Structural Changes with an Application to Purchasing Power Parity

Prodan, Ruxandra - Econometric Society - 2004

power on data that includes breaks of opposite sign. We extend this test in two directions. First, we propose a new … mean or trend reversion. The simulation results show good power and satisfactory size of the new procedures. Using long … purchasing power parity from the application of unit root and structural change tests. We argue that the Bai and Perron test is …

Persistent link: https://www.econbiz.de/10005702663

Further results on weak-exogeneity in vector error correction models

Rault, Christophe - Econometric Society - 2004

operational empirically. Finally, the power and size distortions of this sequential test procedure are analysed with Monte …

Persistent link: https://www.econbiz.de/10005702765

Subsampling Hypothesis Tests for Nonstationary Panels with Applications to the PPP Hypothesis

Chu, Timothy; Choi, In - Econometric Society - 2004

This paper studies subsampling hypothesis tests for panel data that are possibly nonstationary, and cross-sectionally correlated and cross-sectionally cointegrated. The tests include panel unit root and cointegration tests as special cases. The number of cross-sectional units in the panel data...

Persistent link: https://www.econbiz.de/10005328871

The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles

Manganelli, Simone; Cappiello, Lorenzo; Gerard, Bruno - Econometric Society - 2004

We propose a semi-parametric approach to investigate whether co-dependence across markets increase in periods of extreme returns. Given that returns on one market fall in the extreme tail of their own distribution, we compute the conditional probability that returns on another market will also...

Persistent link: https://www.econbiz.de/10005328895

COINTEGRATION AND WAVELETS: AN EMPIRICAL ANALYSIS OF THE RELATIONSHIP BETWEEN MONEY AND OUTPUT IN PERU

Lahura, Erick - Econometric Society - 2004

This paper analyses empirically the relationship between money and output in Peru, based on an orthogonal decomposition of series by timescales obtained using wavelets, following Ramsey and Lampart (1998). Specifically, we propose the application of wavelet filtering to analyze cointegrating...

Persistent link: https://www.econbiz.de/10005328904

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