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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
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Inflation in the G7 Countries : Persistence and Structural Breaks
Caporale, Guglielmo Maria - 2020
This paper examines long-range dependence in the inflation rates of the G7 countries by estimating their (fractional) order of integration d over the sample period January 1973 - March 2020. The results indicate that the series are very persistent, the estimated value of d being equal to or...
Persistent link: https://www.econbiz.de/10012831651
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Reflections on “Testing for Unit Roots in Heterogeneous Panels”
Im, Kyung So; Pesaran, M. Hashem; Shin, Yongcheol - 2023
This article is our personal perspective on the IPS test and the subsequent developments of unit root and cointegration tests in dynamic panels with and without cross-section dependence. In this note, we discuss the main idea behind the test and the publication process that led to Im, Pesaran...
Persistent link: https://www.econbiz.de/10014262740
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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
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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
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Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter
Schlicht, Ekkehart - Institute for the Study of Labor (IZA) - 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/10005703010
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Market Efficiency in the Age of Big Data
Martin, Ian - 2020
Modern investors face a high-dimensional prediction problem: thousands of observable variables are potentially relevant for forecasting. We reassess the conventional wisdom on market efficiency in light of this fact. In our model economy, which resembles a typical machine learning setting, N...
Persistent link: https://www.econbiz.de/10012844214
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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
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Cycles and Long-Range Behaviour in the European Stock Market
Caporale, Guglielmo Maria - 2019
This paper uses a modelling framework which includes two singularities (or poles) in the spectral density function, one corresponding to the long-run (zero) frequency and the other to the cyclical (non-zero) frequency. The adopted specification is very general, since it allows for fractional...
Persistent link: https://www.econbiz.de/10012859046
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Persistence in the Realized Betas : Some Evidence for the Spanish Stock Market
Caporale, Guglielmo Maria - 2020
This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies with the highest market capitalization included in the Spanish IBEX stock market index. Fractional integration methods are applied to estimate their degree of persistence at the...
Persistent link: https://www.econbiz.de/10012838240