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Semi-parametric procedures for Unit root and fractional cointegration tests

Valderio A. Reisen, DEST-UFES, Brazil; Santander, Luz A. M. - Society for Computational Economics - SCE - 2004

This paper considers the use of the long-memory, semi-parametric estimators to test unit-root and non-cointegrated processes under fractional alternatives. Critical-point values of the proposed tests are given for different sample sizes. The ADF test is used for comparison purposes. The...

Persistent link: https://www.econbiz.de/10005345270

Microeconomic Models for Long-Memory in the Volatility of Financial Time Series

Kirman, Alan P.; Teyssiere, Gilles - Society for Computational Economics - SCE - 2001

We show that a class of microeconomic behavioral models with interacting agents, introduced by Kirman (1991,1993), can replicate the empirical long-memory properties of the two first conditional moments of financial time series. The essence of these models is that the forecasts and thus the...

Persistent link: https://www.econbiz.de/10005706726

Forecasting stock prices using Genetic Programming and Chance Discovery

Garcia-Almanza, Alma Lilia; Tsang, Edward P.K. - Society for Computational Economics - SCE - 2006

In recent years the computers have shown to be a powerful tool in financial forecasting. Many machine learning …

Persistent link: https://www.econbiz.de/10005342917

A Unified Copula Framework for VaR forecasting

Fantazzini, Dean; Carta, Alessandro; DeGiuli, Elena Maria - Society for Computational Economics - SCE - 2006

This paper examines different multivariate models to evaluate what are the main determinants when doing VaR forecasts for a portfolio of assets. To achieve this goal, we unify past multivariate models by using a general copula framework and we propose many new extensions. We differentiate the...

Persistent link: https://www.econbiz.de/10005342981

Forecasting Chilean Industrial Production and Sales with Automated Procedures

CHUMACERO, ROMULO A. - Society for Computational Economics - SCE - 2004

This paper presents a rigurous framework for evaluating alternative forecasting methods for Chilean industrial … production and sales. While nonlinear features appear to be important for forecasting the very short term, simple univariate … linear models perform about as well for almost every forecasting horizon …

Persistent link: https://www.econbiz.de/10005345252

A DSGE-VAR for the Euro Area

Negro, Marco Del; Schorfheide, Frank - Society for Computational Economics - SCE - 2004

This paper uses a modified version of the DSGE model estimated in Smets and Wouters (2003) to generate a prior distribution for a vector autoregression, following the approach in Del Negro and Schorfheide (2003). This DSGE-VAR is fitted to Euro area data on GDP, consumption, investment, nominal...

Persistent link: https://www.econbiz.de/10005345303

Factor based leading indicators for euro area business cycle: A comparative assessment

Angelini; Henry; Mestre - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005345656

Forecasting Demand for Natural Gas Using GP-Econometric Integrated Systems

Kaboudan, M. A. - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005345733

Forecasting VARMA processes: VAR models vs. subspace-based state space models

Izquierdo, Segismundo; Hernandez, Cesareo; Hoyo, Juan del - Society for Computational Economics - SCE - 2006

state space models obtained by the CCA subspace algorithm, including a density forecasting analysis …

Persistent link: https://www.econbiz.de/10005706234

Data Uncertainty in General Equilibrium

Aruoba, S. Boragan - Society for Computational Economics - SCE - 2004

In this paper, using recent empirical results regarding the statistical properties of macroeconomic data revisions, we study the effects of data revisions in a general equilibrium framework. We find that the presence of data revisions, or data uncertainty, creates a precautionary motive and...

Persistent link: https://www.econbiz.de/10005706560