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Forecasting autoregressive time series under changing persistenceCreation-Date: 20100701
Kruse, Robinson - School of Economics and Management, University of Aarhus
Changing persistence in time series models means that a structural change from nonstationarity to stationarity or vice versa occurs over time. Such a change has important implications for forecasting, as negligence may lead to inaccurate model predictions. This paper derives generally applicable...
Persistent link: https://www.econbiz.de/10008461102
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Long memory and changing persistence
Kruse, Robinson; Sibbertsen, Philipp - School of Economics and Management, University of Aarhus - 2010
We study the empirical behaviour of semi-parametric log-periodogram estimation for long memory models when the true process exhibits a change in persistence. Simulation results confirm theoretical arguments which suggest that evidence for long memory is likely to be found. A recently proposed...
Persistent link: https://www.econbiz.de/10008462031
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What do we know about real exchange rate non-linearities?
Kruse, Robinson; Frömmel, Michael; Menkhoff, Lukas; … - School of Economics and Management, University of Aarhus - 2009
This research points to the serious problem of potentially misspecified alternative hypotheses when testing for unit roots in real exchange rates. We apply a popular unit root test against nonlinear ESTAR and develop a Markov Switching unit root test. The empirical power of these tests against...
Persistent link: https://www.econbiz.de/10008577799
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A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic
Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2008
This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d, and containing Breitung’s (2002) test as the special case d = 1. It is shown that (i) each member of the family with d 0 is consistent, (ii) the asymptotic distribution depends on d, and thus...
Persistent link: https://www.econbiz.de/10005198866
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A Simple Test for Spurious Regressions
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
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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
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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
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A Regime Switching Long Memory Model for Electricity Prices
Haldrup, Niels; Nielsen, Morten O. - School of Economics and Management, University of Aarhus - 2004
this means that in some regimes, an extreme form of fractional cointegration amongst prices will exist. We define a Markov …
Persistent link: https://www.econbiz.de/10005787517
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A Gaussian IV estimator of cointegrating relations
Bårdsen, Gunnar; Haldrup, Niels - School of Economics and Management, University of Aarhus - 2006
In static single equation cointegration regression models the OLS estimator will have a non-standard distribution …
Persistent link: https://www.econbiz.de/10005439926
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Multicointegration in US consumption data
Siliverstovs, Boriss - School of Economics and Management, University of Aarhus
The present paper tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the USA. In doing so, we exploit the fact that the flows of disposable income and consumption expenditure on the one hand, and...
Persistent link: https://www.econbiz.de/10005440004