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Quasi-maximum likelihood estimation of heteroskedastic fractional time series models

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2014

In a recent paper Hualde and Robinson (2011) establish consistency and asymptotic normality for conditional sum-of-squares estimators, which are equivalent to conditional quasi-maximum likelihood estimators, in parametric fractional time series models driven by conditionally homoskedastic...

Persistent link: https://www.econbiz.de/10010360982

On fractionally integrated logistic smooth transitions in time series

Shittu, Olanrewaju I.; Yaya, OlaOlua S. - In: CBN journal of applied statistics 2 (2011) 1, pp. 1-13

Long memory and nonlinearity are two key features of some macroeconomic time series which are characterized by persistent shocks that seem to rise faster during recession than it falls during expansion. A variant of nonlinear time series model together with long memory are used to examine these...

Persistent link: https://www.econbiz.de/10011477601

Semiparametric tests for the order of integration in the possible presence of level breaks

Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - 2020

Lobato and Robinson (1998) develop semiparametric tests for the null hypothesis that a series is weakly autocorrelated, or I(0), about a constant level, against fractionally integrated alternatives. These tests have the advantage that the user is not required to specify a parametric model for...

Persistent link: https://www.econbiz.de/10012243070

Nonstationary cointegration in the fractionally cointegrated VAR model

Johansen, Søren; Nielsen, Morten Ørregaard - 2018

We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and make two distinct contributions. First, in their con- sistency proof, Johansen and Nielsen (2012a) imposed moment conditions on the errors that depend on the parameter space, such that...

Persistent link: https://www.econbiz.de/10011845794

Adaptive inference in heteroskedastic fractional time series models

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2017

We consider estimation and inference in fractionally integrated time series models driven by shocks which can display conditional and unconditional heteroskedasticity of unknown form. Although the standard conditional sum-of-squares (CSS) estimator remains consistent and asymptotically normal in...

Persistent link: https://www.econbiz.de/10011756074

Testing the CVAR in the fractional CVAR model

Johansen, Søren; Nielsen, Morten Ørregaard - 2017

We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and show that the test statistic for the ususal CVAR model is asymptotically chi-squared distributed. Because the usual CVAR model lies on the boundary of the parameter space for the...

Persistent link: https://www.econbiz.de/10011756080

Testing for single bubble episode in the Nigerian stock market : an empirical investigation

Iliyasu, Jamilu; Saba, Ndayezhin D. - In: CBN journal of applied statistics 10 (2019) 1, pp. 29-49

This study evaluates a single bubble episode in the Nigerian Stock Exchange (NSE) by utilizing monthly data on nominal and real all-share index (ASI) from January 2010 to December 2017. Analysis of data based on Sup Augmented Dickey-Fuller (SADF) test for bubble detection suggests non-existence...

Persistent link: https://www.econbiz.de/10012178349

Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break

Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … compare estimates of variants of GARCH models with break in respect of the US dollar rates with exogenously determined break … estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction …

Persistent link: https://www.econbiz.de/10011476095

Exchange rate volatility in Nigeria : consistency, persistency & severity analyses

Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN journal of applied statistics 2 (2011) 2, pp. 29-49

examined using the ADF and PP approach, the stationary process, and order of the incorporated series. The ARCH and GARCH models …

Persistent link: https://www.econbiz.de/10011477452