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Noriega, Antonio E.; Ventosa-Santaularia, Daniel - School of Economics and Management, University of Aarhus - 2011

The literature on spurious regressions has found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes for the dependent and explanatory variables. This paper...

Persistent link: https://www.econbiz.de/10009147394

Changes in persistence, spurious regressions and the Fisher hypothesis

Kruse, Robinson; Ventosa-Santaulària, Daniel; Noriega, … - School of Economics and Management, University of Aarhus - 2013

test to the Fisher equation for the U.S. and Mexico. Contrary to a rejection using cointegration techniques, the R2-based …

Persistent link: https://www.econbiz.de/10010851252

A Non-standard Empirical Likelihood for Time Series

Nordman, Daniel J.; Bunzel, Helle; Lahiri, Soumendra N. - School of Economics and Management, University of Aarhus - 2012

Standard blockwise empirical likelihood (BEL) for stationary, weakly dependent time series requires specifying a fixed block length as a tuning parameter for setting confidence regions. This aspect can be difficult and impacts coverage accuracy. As an alternative, this paper proposes a new...

Persistent link: https://www.econbiz.de/10010851266

Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search

Grassi, Stefano; Proietti, Tommaso - School of Economics and Management, University of Aarhus - 2011

An important issue in modelling economic time series is whether key unobserved components representing trends, seasonality and calendar components, are deterministic or evolutive. We address it by applying a recently proposed Bayesian variable selection methodology to an encompassing linear...

Persistent link: https://www.econbiz.de/10009293967

Asymptotic normality of the QMLE in the level-effect ARCH model

Dahl, Christian M.; Iglesias, Emma M. - School of Economics and Management, University of Aarhus - 2010

In this paper consistency and asymptotic normality of the quasi maximum like-lihood estimator in the level-effect ARCH model of Chan, Karolyi, Longstaff and Sanders (1992) is established. We consider explicitly the case where the parameters of the conditional heteroskedastic process are in the...

Persistent link: https://www.econbiz.de/10008509121

Characterizing economic trends by Bayesian stochastic model specification search

Grassi, Stefano; Proietti, Tommaso - School of Economics and Management, University of Aarhus - 2011

boundary of the stationarity region. The posterior distribution of the autoregressive parameters, estimated by a suitable Gibbs …

Persistent link: https://www.econbiz.de/10009020199

Left-Censoring in Duration Data: Theory and Applications

D'Addio, Anna Christina; Rosholm, Michael - School of Economics and Management, University of Aarhus

expressions. In order to use the information efficiently, we often resort to the stationarity assumption. Hence, we provide a …

Persistent link: https://www.econbiz.de/10005114048

Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data

Haldrup, Niels; Hylleberg, Svend; Pons, Gabriel; … - School of Economics and Management, University of Aarhus - 2005

periodic model and to exploit the possible cointegration and common feature properties of the variables in order to obtain a …

Persistent link: https://www.econbiz.de/10010851169

Times Series: Cointegration

Johansen, Søren - School of Economics and Management, University of Aarhus - 2014

An overview of results for the cointegrated VAR model for nonstationary I(1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. These include: formulation of criteria on the parameters, for the process to be nonstationary and I(1),...

Persistent link: https://www.econbiz.de/10010940882

Optimal hedging with the cointegrated vector autoregressive model

Johansen, Søren; Gatarek, Lukasz - School of Economics and Management, University of Aarhus - 2014

(CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the infinite …

Persistent link: https://www.econbiz.de/10010940883