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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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The EMBI in Latin America : Fractional Integration, Non-Linearities and Breaks
Caporale, Guglielmo Maria - 2015
This paper analyses the main statistical properties of the Emerging Market Bond Index (EMBI), namely long-range dependence or persistence, non-linearities, and structural breaks, in four Latin American countries (Argentina, Brazil, Mexico, Venezuela). For this purpose it uses a fractional...
Persistent link: https://www.econbiz.de/10013009842
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How Strong is the Case for Dollarization in Costa Rica? A Note on the Business Cycle Comovements with the United States
Lindenberg, Nannette - 2013
We evaluate the proposal for official dollarization in Costa Rica by applying a new approach to measure the business cycle comovements with the United States. While the literature often focuses on the correlation of shocks, we point out that the response of each country to the shocks is also an...
Persistent link: https://www.econbiz.de/10013095614
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Monetary Policy Rules in Emerging Countries : Is There an Augmented Nonlinear Taylor Rule?
Caporale, Guglielmo Maria - 2016
This paper examines the Taylor rule in five emerging economies, namely Indonesia, Israel, South Korea, Thailand, and Turkey. In particular, it investigates whether monetary policy in these countries can be more accurately described by (i) an augmented rule including the exchange rate, as well as...
Persistent link: https://www.econbiz.de/10012986234
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Identifying Monetary Policy Shocks Via Changes in Volatility
Lanne, Markku - 2013
A central issue of monetary policy analysis is the specification of monetary policy shocks. In a structural vector autoregressive setting there has been some controversy about which restrictions to use for identifying the shocks because standard theories do not provide enough information to...
Persistent link: https://www.econbiz.de/10012754187
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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