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Ten Things We Should Know About Time Series
McAleer, Michael; Oxley, Les - Faculteit der Economische Wetenschappen, Erasmus … - 2010
Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing...
Persistent link: https://www.econbiz.de/10010837984
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Flexible Seasonal Long Memory and Economic Time Series
Ooms, Marius - Faculteit der Economische Wetenschappen, Erasmus … - 1995
We discuss specification, frequency domain estimation and application of flexible fractionally integrated seasonal long memory time series models, which allow for 'chi-squared' (seasonal) unit root testing. We suggest periodogram regression and approximate ML estimation. We successfully apply a...
Persistent link: https://www.econbiz.de/10010731741
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Convergence and Persistence of Left-Right Political Orientations in The Netherlands 1978-1995
Franses, Philip Hans; Ooms, Marius; Eisinga, Eisinga, R. - Faculteit der Economische Wetenschappen, Erasmus … - 1997
-Theory- Two theories about trends in left-right political orientations are juxtaposed: the persistence theory claiming that left-right orientations are highly resistant to change versus the irrelevance theory anticipating a move of mass publics towards the center of the left-right continuum....
Persistent link: https://www.econbiz.de/10010731848
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Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
Tansuchat, Roengchai; Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the … FIGARCH model of Baillie et al. (1996), FIEGACH model of Bollerslev and Mikkelsen (1996), and FIAPARCH model of Tse (1998 …), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of …
Persistent link: https://www.econbiz.de/10010732611
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Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10010732596
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Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10010732623