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Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models
Luetkepohl, Helmut - 2015
A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...
Persistent link: https://www.econbiz.de/10013023197
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Identification and Estimation of the Environmental Kuznets Curve : Pairwise Differencing to Deal with Nonlinearity and Nonstationarity
Sen, Suphi - 2016
We propose an estimation strategy that accounts for two major problems raised in the empirical literature testing for … problems. Second, we apply nonlinear-nonstationary parametric and non-parametric estimation techniques to estimate the pairwise …
Persistent link: https://www.econbiz.de/10012993697
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Forecasting Random Walks Under Drift Instability
Pesaran, M. Hashem - 2011
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/10012756639
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Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks
Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - 2021
This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that the suggested...
Persistent link: https://www.econbiz.de/10013317060
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A Multivariate Long-Memory Model with Structural Breaks
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2021
This paper introduces a multivariate long-memory model with structural breaks. In the proposed framework, time series exhibit possibly fractional orders of integration which are allowed to be different in each subsample. The break date is endogenously determined using a procedure which minimises...
Persistent link: https://www.econbiz.de/10013317169
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Cointegration Analysis with Mixed-Frequency Data
Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter A. - 2021
maximum likelihood estimation of the parameters in the model, we use an expectation maximization algorithm based on the state …
Persistent link: https://www.econbiz.de/10013317180
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Long Memory with Markov-Switching GARCH
Kraemer, Walter - 2008
The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives sufficient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation that estimated GARCH-parameters often...
Persistent link: https://www.econbiz.de/10012772611
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Asymmetry in Volatility : A Comparison of Developed and Transition Stock Markets
Wdowinski, Piotr; Malecka, Marta - 2021
ARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to econometric model building in the field of financial time series with time-varying variance. The main idea of the models was to describe the most typical features of capital markets...
Persistent link: https://www.econbiz.de/10013316234
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Fractional Integration and Cointegration in US Financial Time Series Data
Caporale, Guglielmo Maria - 2011
This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...
Persistent link: https://www.econbiz.de/10013126003
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Using Real-Time Data to Test for Political Budget Cycles
Jong-A-Pin, Richard - 2012
We use real‐time annual data on the fiscal balance, government current spending, current revenues and net capital outlays as published at a half yearly frequency in the OECD Economic Outlook for 25 OECD countries. For each fiscal year t we have a number of forecasts, a first release, and...
Persistent link: https://www.econbiz.de/10013100272