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On tests for linearity against STAR models with deterministic trends

Kaufmann, Hendrik; Kruse, Robinson; Sibbertsen, Philipp - School of Economics and Management, University of Aarhus - 2012

Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this paper. As opposed to recently reported results in Zhang (2012), we show that linearity tests against STAR models lead to useful results in...

Persistent link: https://www.econbiz.de/10010851237

Nonlinear Kalman Filtering in Affine Term Structure Models

Christoffersen, Peter; Dorion, Christian; Jacobs, Kris; … - School of Economics and Management, University of Aarhus - 2012

states and forecasting swap rates and caps. Our fi?ndings suggest that the unscented Kalman fi?lter may prove to be a good …

Persistent link: https://www.econbiz.de/10010851253

Unit roots, nonlinearities and structural breaks

Haldrup, Niels; Kruse, Robinson; Teräsvirta, Timo; … - School of Economics and Management, University of Aarhus - 2012

One of the most infl?uential research ?fields in econometrics over the past decades concerns unit root testing in economic time series. In macro-economics much of the interest in the area originate from the fact that when unit roots are present, then shocks to the time series processes have a...

Persistent link: https://www.econbiz.de/10010851298

Mean Reversion in US and International Short Rates

Christiansen, Charlotte - School of Economics and Management, University of Aarhus - 2008

In this paper we extend the CKLS one factor short rate model to include extreme value nonlinear mean reversion. Similarly to a recent stock market study, we include the smallest short rate during the previous year in the mean equation. We investigate the US and five other major markets (Canada,...

Persistent link: https://www.econbiz.de/10005440056

Parameterizing unconditional skewness in models for financial time series

He, Changli; Silvennoinen, Annastiina; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2008

In this paper we consider the third-moment structure of a class of time series models. It is often argued that the marginal distribution of financial time series such as returns is skewed. Therefore it is of importance to know what properties a model should possess if it is to accommodate...

Persistent link: https://www.econbiz.de/10005440080

Diffusion Indexes with Sparse Loadings

Kristensen, Johannes Tang - School of Economics and Management, University of Aarhus - 2013

The use of large-dimensional factor models in forecasting has received much attention in the literature with the … model which is better suited for forecasting compared to the traditional principal components (PC) approach.We provide an … asymptotic analysis of the estimator and illustrate its merits empirically in a forecasting experiment based on US macroeconomic …

Persistent link: https://www.econbiz.de/10010851192

Estimating High-Dimensional Time Series Models

Medeiros, Marcelo C.; Mendes, Eduardo F. - School of Economics and Management, University of Aarhus - 2012

We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. We assume both the number of covariates in the model and candidate variables can increase with the number of observations and the number of candidate variables is,...

Persistent link: https://www.econbiz.de/10010851219

Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models

Hillebrand, Eric; Medeiros, Marcelo C. - School of Economics and Management, University of Aarhus - 2012

We study the simultaneous occurrence of long memory and nonlinear effects, such as parameter changes and threshold effects, in ARMA time series models and apply our modeling framework to daily realized volatility. Asymptotic theory for parameter estimation is developed and two model building...

Persistent link: https://www.econbiz.de/10010851244

Housing price forecastability: A factor analysis

Bork, Lasse; Møller, Stig V. - School of Economics and Management, University of Aarhus - 2012

-sample forecasting regressions. The predictive power of the model stays high at longer horizons. The estimated factors are strongly …

Persistent link: https://www.econbiz.de/10010851257

Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions

Kock, Anders Bredahl; Callot, Laurent A.F. - School of Economics and Management, University of Aarhus - 2012

variable selection and estimation in one step. We evaluate the forecasting accuracy of these estimators for a large set of …

Persistent link: https://www.econbiz.de/10010851261