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Long Run and Cyclical Dynamics in the U.S. Stock Market

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2021

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/10013316966

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

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

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

Reflections on “Testing for Unit Roots in Heterogeneous Panels”

Im, KyungSo; 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

Persistence, Non-Linearities and Structural Breaks in European Stock Market Indices

Caporale, Guglielmo Maria - 2019

This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no...

Persistent link: https://www.econbiz.de/10012866377

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

Real-Time Forecasting Using Mixed-Frequency Vars with Time-Varying Parameters

Heinrich, Markus - 2020

This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive models (VAR) that allow for both structural change and indicators sampled at different frequencies. We extend the literature by evaluating a mixed-frequency time-varying...

Persistent link: https://www.econbiz.de/10012842676

Non-Linearities and Persistence in US Long-Run Interest Rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021

-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation …

Persistent link: https://www.econbiz.de/10013314848

Imputing Monthly Values for Quarterly Time Series. An Application Performed with Swiss Business Cycle Data

Abberger, Klaus; Graff, Michael; Müller, Oliver; … - 2023

This paper documents a comparative application of algorithms to deal with the problem of missing values in higher frequency data sets. We refer to Swiss business tendency survey (BTS) data which are conducted in both monthly and quarterly frequency, where an information sub-set is collected at...

Persistent link: https://www.econbiz.de/10014262560