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Temporal aggregation and causality in multiple time series models
Breitung, Jörg; Swanson, Norman R. - 1998
asymptotic theory based on large aggregation intervals we derive conditions for a correspondence between both concepts. These … examining the consequences of temporal aggregation in (possibly) Granger causal systems of variables. Our approach is to compare … results allow us to differentiate between spurious contemporaneous correlation arising because of aggregation, and true …
Persistent link: https://www.econbiz.de/10009578029
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On the effects of aggregating cointegrated variables over time
Müller-Kademann, Christian - 2002
aggregated observations (see Working (1960)). This paper investigates the effect of aggregation on the relation between variables … (cointegration). It will be shown that aggregation does not distort the cointegration relation while some other features of the data … cointegration analysis seems to be robust against various aggregation strategies. -- cointegration ; aggregation ; time series …
Persistent link: https://www.econbiz.de/10009620772
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On model based seasonal adjustment procedures
Breitung, Jörg - 1998
In this note the unobserved component approach underlying the software package SEATS is compared with the Beveridge-Nelson type of decomposition for seasonal time series. The main strength of the SEATS approach lies in the appealing model formulation and the careful specification and adjustment...
Persistent link: https://www.econbiz.de/10009574877
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Nonparametric factor analysis of time series
Rodríguez Poo, Juan Manuel; Linton, Oliver - 1998
We introduce a nonparametric smoothing procedure for nonparametric factor analaysis of multivariate time series. The asymptotic properties of the proposed procedures are derived. We present an application based on the residuals from the Fair macromodel. -- Factor Analysis ; Time Series ; Kernel...
Persistent link: https://www.econbiz.de/10009578000
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A nonparametric test for the stationary density
Neumann, Michael H.; Paparoditis, Efstathios - 1998
We propose a nonparametric test for checking parametric hypotheses about the stationary density of weakly dependent observations. The test statistic is based on the L2-distance between a nonparametric and a smoothed version of a parametric estimate of the stationary density. It can be shown that...
Persistent link: https://www.econbiz.de/10009578009
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Nonparametric estimation in null recurrent times series
Karlsen, Hans Arnfinn; Tjostheim, Dag - 1998
We develop a nonparametric estimation theory in a non-stationary environment, more precisely in the framework of null …
Persistent link: https://www.econbiz.de/10009578015
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Flexible stochastic volatility structures for high frequency financial data
Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998
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
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Nonparametric autoregression with multiplicative volatility and additive mean
Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens Perch - 1998
For over a decade, nonparametric modelling has been successfully applied to study nonlinear structures in financial time series. It is well known that the usual nonparametric models often have less than satisfactory performance when dealing with more than one lag. When the mean has an additive...
Persistent link: https://www.econbiz.de/10009578559
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Modelling exchange rates volatility with multivariate long-memory ARCH processes
Teyssière, Gilles - 1999 - Rev.
We consider two multivariate long-memory ARCH models, which extend the univariate long-memory ARCH models, we first consider a long-memory extension of the restricted constant conditional correlations (CCC) model introduced by Bollerslev (1990), and we propose a new unrestricted conditional...
Persistent link: https://www.econbiz.de/10009579181
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Nonparametric lag selection for time series
Tschernig, Rolf; Yang, Lijian - 1997
A nonparametric version of the Final Prediction Error (FPE) is proposed for lag selection in nonlinear autoregressive time series. We derive its consistency for both local constant and local linear estimators using a derived optimal bandwidth. Further asymptotic analysis suggests a greater...
Persistent link: https://www.econbiz.de/10009659069