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Forecasting random walks under drift instability

Pesaran, Mohammad Hashem; Pick, Andreas - 2008

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10010276222

Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter

Schlicht, Ekkehart - 2004

This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997) which has been proposed in the context of my seasonal adjustment method (Schlicht 1981, 1984). A statistics estimator for the smoothing parameter is proposed that is asymptotically equivalent to the...

Persistent link: https://www.econbiz.de/10010261819

Long run and cyclical dynamics in the US stock market

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2007

This paper examines the long-run dynamics and the cyclical structure of various series related to the US stock market using fractional integration. We implement a procedure which enables one to consider unit roots with possibly fractional orders of integration both at the zero (long-run) and the...

Persistent link: https://www.econbiz.de/10010264167

Gender unemployment catching-up: Empirical evidence from Italian regions

Belloc, Marianna; Tilli, Riccardo - 2010

We study the persistence of the gender unemployment gap in the Italian regions in the 1992-2009 period. Results from unit-root tests analysis with structural break suggest that the process of gender catching-up in the unemployment rates is occurring in most of the regions but at different pace....

Persistent link: https://www.econbiz.de/10010274840

International labour force participation rates by gender: Unit root or structural breaks?

Ozdemir, Zeynel Abidin; Balcilar, Mehmet; Tansel, Aysit - 2011

This paper examines the possibility of unit roots in the presence of endogenously determined multiple structural breaks in the total, female and male labour force participation rates (LFPR) for Australia, Canada and the USA. We extend the procedure of Gil-Alana (2008) for single structural break...

Persistent link: https://www.econbiz.de/10010282306

Testing for convergence in stock markets : a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...

Persistent link: https://www.econbiz.de/10010274514

Cultural diversity, geographical isolation, and the origin of the wealth of nations

Ashraf, Quamrul; Galor, Oded - 2012

This research argues that variations in the interplay between cultural assimilation and cultural diffusion have played a significant role in giving rise to differential patterns of economic development across the globe. Societies that were geographically less vulnerable to cultural diffusion...

Persistent link: https://www.econbiz.de/10010282579

Immigrant workers and farm performance: Evidence from matched employer-employee data

Malchow-Møller, Nikolaj; Munch, Jakob Roland; Aastrup … - 2013

Many developed countries have recently experienced a significant inflow of immigrants in the agricultural sector. At the same time, the sector is still in a process of structural transformation resulting in fewer but bigger and presumably more efficient farms. In this paper, we exploit detailed...

Persistent link: https://www.econbiz.de/10010291420

Small sample properties of maximum likelihood versus generalized method of moments based tests for spatially autocorrelated errors

Egger, Peter; Larch, Mario; Pfaffermayr, Michael; … - 2005

autocorrelation coefficient of the error term in a Cliff and Ord type model. The main finding is that a Wald-test based on GMM … estimation as derived by Kelejian and Prucha (2005a) performs surprisingly well. Our Monte Carlo study indicates that the GMM …

Persistent link: https://www.econbiz.de/10010261344

The Local Power of the IPS Test with Both Initial Conditions and Incidental Trends

Lahiri, Kajal; Liang, Zhongwen; Peng, Huaming - 2017

This paper investigates the asymptotic local power of the the averaged t-test of Im, Pesaran and Shin (2003, IPS hereafter) in the presence of both initial explosive conditions and incidental trends. By utilizing the least squares detrending methods, it is found that the initial condition plays...

Persistent link: https://www.econbiz.de/10011615868

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