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We show in the paper that the decomposition proposed by Beveridge and Nelson (1981) for models that are integrated of order one can be generalized to seasonal Arima models by means of a partial fraction decomposition. Two equivalent algorithms are proposed to optimally (in the mean squared...
Persistent link: https://www.econbiz.de/10009577456
series with a zero spectral density at some frequency. Estimation and inference can be performed using an Instrumental … an analysis of the comovement between Germany, Austria and the United Kingdom is presented. -- common feature analysis …
Persistent link: https://www.econbiz.de/10009612024
The paper is concerned with the estimation of the long memory parameter in a conditionally heteroskedastic model … models ; semiparametric estimation ; modified R/S ; KPSS and V/S statistics ; periodogram …
Persistent link: https://www.econbiz.de/10009581091
Persistent link: https://www.econbiz.de/10001919034
This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour productivity differentials. We find that whilst the individual series may be...
Persistent link: https://www.econbiz.de/10009611542
The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of …
Persistent link: https://www.econbiz.de/10009613608
Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a...
Persistent link: https://www.econbiz.de/10009578026
, and the Deutschmark-US dollar. The estimation results for both models show: (i) that the unrestricted model outperforms …
Persistent link: https://www.econbiz.de/10009579181
This paper examines the relationship between unemployment, real oil price and real interest rates in Canada. Instead of following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration techniques which allow for the...
Persistent link: https://www.econbiz.de/10009614880
A particular version of the tests of Robinson (1994) for testing stochastic cycles in macroeconomic time series is proposed in this article. The tests have a standard limit distribution and are easy to implement in raw time series. A Monte Carlo experiment is conducted, studying the size and the...
Persistent link: https://www.econbiz.de/10009611541