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Modelling seasonality with fractionally integrated processes
Gil-Alaña, Luis A. - 2000
We propose in this article the use of a particular version of the tests of Robinson (1994) for testing seasonally fractionally integrated processes. The tests have standard null and local limit distributions and allow us to test unit and fractional seasonal roots even with different amplitudes...
Persistent link: https://www.econbiz.de/10009582382
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Deterministic seasonality versus seasonal fractional integration
Gil-Alaña, Luis A. - 2000
We make use in this article of a testing procedure suggested by Robinson (1994) for testing deterministic seasonality versus seasonal fractional integration. A new test statistic is developed to simultaneously test both, the order of integration of the seasonal component and the need of seasonal...
Persistent link: https://www.econbiz.de/10009612017
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Nonlinear error correction and the efficient market hypothesis : the case of German dual-class shares
Breitung, Jörg; Wulff, Christian - 1999
The efficient market hypothesis implies that asset prices cannot be cointegrated. On the other hand, arbitrage processes prevent prices of fundamentally related assets from drifting far away. An attractive model that reconciles these two conflicting facts is the nonlinear error correction...
Persistent link: https://www.econbiz.de/10009581105
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Fractional cointegration and tests of present value models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations … (EMH) ; Present Value (PV) models ; fractional cointegration …
Persistent link: https://www.econbiz.de/10009582383
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Multiplicative SARIMA models
Chen, Rong; Schulz, Rainer; Stephan, Sabine - 2002
Persistent link: https://www.econbiz.de/10009621411
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Interest parity at short and long horizons
Chinn, Menzie David; Meredith, Guy - 2000
interpretation of the results, which focuses on the presence of simultaneity in a cointegration framework. We then use a …
Persistent link: https://www.econbiz.de/10009583878
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On the (nonlinear) relationship between exchange rate uncertainty and trade : an investigation of US trade figures in the Group of Seven
Herwartz, Helmut (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001918978
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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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The Beveridge-Nelson decomposition : a different perspective with new results
Gómez, Víctor; Breitung, Jörg - 1998
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
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Rank tests for nonlinear cointegration
Breitung, Jörg - 1998
A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is … is no cointegration between the time series, the sequences of ranks tend to diverge, whereas under cointegration the … perform better than their parametric competitors. To test for nonlinear cointegration a variable addition test based on ranks …
Persistent link: https://www.econbiz.de/10009578004