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Double Asymptotics for Explosive Continuous Time Models
Wang, XiaoHu - 2013
This paper develops a double asymptotic limit theory for the persistent parameter ( k) in explosive continuous time … simultaneous double asymptotic theory is derived using a technique in the same spirit as in Phillips and Magdalinos (2007) for the …. In the special case of explosive continuous time models driven by the Brownian motion, we develop the limit theory that …
Persistent link: https://www.econbiz.de/10013077107
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Robust Deviance Information Criterion for Latent Variable Models
Li, Yong - 2013
It is shown in this paper that the data augmentation technique undermines the theoretical underpinnings of the deviance information criterion (DIC), a widely used information criterion for Bayesian model comparison, although it facilitates parameter estimation for latent variable models via...
Persistent link: https://www.econbiz.de/10013077108
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Testing for Multiple Bubbles
Phillips, Peter C. B. - 2013
Identifying and dating explosive bubbles when there is periodically collapsing behavior over time has been a major concern in the economics literature and is of great importance for practitioners. The complexity of the nonlinear structure inherent in multiple bubble phenomena within the same...
Persistent link: https://www.econbiz.de/10013077110
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Large Panel Data Models with Cross-Sectional Dependence : A Survey
Chudik, Alexander - 2013
This paper provides an overview of the recent literature on estimation and inference in large panel data models with cross-sectional dependence. It reviews panel data models with strictly exogenous regressors as well as dynamic models with weakly exogenous regressors. The paper begins with a...
Persistent link: https://www.econbiz.de/10013077111
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Exchange Rate Predictability
Rossi, Barbara - 2013
The main goal of this article is to provide an answer to the question: "Does anything forecast exchange rates, and if so, which variables?". It is well known that exchange rate fluctuations are very difficult to predict using economic models, and that a random walk forecasts exchange rates...
Persistent link: https://www.econbiz.de/10013077116
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Econometric Issues When Modeling with a Mixture of I(1) and I(0) Variables
Fisher, Lance A. - 2013
This paper considers structural models when both I(1) and I(0) variables are present. It is necessary to extend the traditional classification of shocks into permanent and transitory and we do this by introducing a mixed shock. The extra shocks coming from introducing I(0) variables into a...
Persistent link: https://www.econbiz.de/10013077118
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On the Correlation Structure of Microstructure Noise : A Financial Economic Approach
Diebold, Francis X. - 2013
volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent …
Persistent link: https://www.econbiz.de/10013077120