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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

Unusual behaviour of Dickey-Fuller tests in the presence of trend misspecification : comment

Siliverstovs, Boriss - 2003

In this paper we present explanation on the phenomenon pointed out in Cook and Manning (2002) on the unusual behaviour of the Dickey-Fuller test in the presence of trend misspecification. It appears that the rejection frequency of the unit root tests in the presence of trend misspecification is...

Persistent link: https://www.econbiz.de/10011439441

Panel Unit Root Tests in the Presence of a Multifactor Error Structure

Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - 2021

addition the estimation of the number of factors as well as the factors themselves. Small sample properties of the proposed …

Persistent link: https://www.econbiz.de/10013316613

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

Heterogeneous Autoregressions in Short T Panel Data Models

Pesaran, M. Hashem; Yang, Liying - 2023

This paper considers a ﬁrst-order autoregressive panel data model with individual-speciﬁc eﬀects and a heterogeneous autoregressive coeﬃcient. It proposes estimators for the moments of the cross-sectional distribution of the autoregressive coeﬃcients, with a focus on the ﬁrst two...

Persistent link: https://www.econbiz.de/10014347822

Uncertainty of macroeconomic forecasters and the prediction of stock market bubbles

Herwartz, Helmut; Cholodilin, Konstantin Arkadʹevič - 2014

We assess the contribution of macroeconomic uncertainty -- approximated by the dispersion of the real GDP survey forecasts -- to the ex post and ex ante prediction of stock price bubbles. For a panel of six OECD economies covering 24 years, two alternative binary chronologies of bubble periods...

Persistent link: https://www.econbiz.de/10010400661

Long-term price overreactions : are markets enefficient?

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015

This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, t-tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative...

Persistent link: https://www.econbiz.de/10010467097

Short-term price overreaction : identification, testing, exploitation

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014

This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an "inertia anomaly", i.e. after an...

Persistent link: https://www.econbiz.de/10010438074

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

Unit roots and cointegration in panels

Breitung, Jörg; Pesaran, Mohammad Hashem - 2005

hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …

Persistent link: https://www.econbiz.de/10010276171

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