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Unit and fractional roots in the presence of abrupt changes with an application to the Brazilian inflation rate

Gil-Alaña, Luis A. - 2001

We analyse in this article the monthly structure of the Brazilian inflation rate by means of fractionally integrated … techniques. This series is characterized by strong government interventions to bring inflation to a low level. We use a testing …

Persistent link: https://www.econbiz.de/10009615430

Price variability and price dispersion in a stable monetary environment : evidence from German retail markets

Fengler, Matthias R.; Winter, Joachim - 2000

We investigate the relationship between inflation and price variation using highly disaggregated, weekly price data for … consumption goods recorded in Germany during 1995, a low inflation period. We find a significant positive correlation between the … correlated with price changes. As the rate of inflation rises, both variability and dispersion become affected. During …

Persistent link: https://www.econbiz.de/10009612033

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

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

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

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

Properties of the nonparametric autoregressive bootstrap

Franke, Jürgen; Kreiß, Jens-Peter; Mammen, Enno; … - 1998

We prove geometric ergodicity and absolute regularity of the nonparametric autoregressive bootstrap process. To this end, we revisit this problem for nonparametric autoregressive processes and give some quantitative conditions (i.e., with explicit constants) under which the mixing coefficients...

Persistent link: https://www.econbiz.de/10009578012

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 recurrent Markov chains. An essential tool is the split chain, which makes it possible to decompose the times series under consideration in independent and identical parts. A...

Persistent link: https://www.econbiz.de/10009578015

Semiparametric estimation and prediction for time series cross sectional data

Bunke, Olaf - 1998

This paper discusses a methodology which uses time series cross sectional datafor the estimation of a time dependent regression function depending on explanatory variables and for the prediction of values of the dependent variable. The methodology assumes independent observations and is based on...

Persistent link: https://www.econbiz.de/10009578017

Modeling panels of intercorrelated autoregressive time series

Hjellvik, Vidar; Tjostheim, Dag - 1998

We propose a method of modeling panel time series data with both inter- and intra-individual correlation, and of fitting an autoregressive model to such data. Estimates are obtained by a conditional likelihood argument. If there are few observations in each series, the estimates can be...

Persistent link: https://www.econbiz.de/10009578021