The three most important Chinese holidays, Chinese New Year, the Dragon- boat Festival, and Mid-Autumn Holiday have dates determined by a lunar calendar and move between two solar months. Consumption, production, and other economic behavior in countries with large Chinese population including...

Investment behaviour is influenced by a number of variables. A change in macro-econometric parameters can affect investment behaviour in a number of ways. The purpose of this study is to report the theory and estimation of an investment model for the South African economy. The model estimated in...

The Asian financial crisis broke out in Thailand in July 1997, and rapidly spread throughout the neighboring countries. An important question then arises? Is it possible to predict next financial crisis? If yes, then what are the predictors? The answer lies in combined usage of economic theory...

The study presents an analysis of the stochastic nature of the gross domestic product of Mexico for the period 1900-2001. Several specifications to test for the existence of unit roots are presented. The conventional tests, Dickey Fuller, Augmented Dickey Fuller and Phillips Perron, indicate...

This paper investigates the effect of seasonal adjustment filters on the identification of mixed causal-noncausal autoregressive models. By means of Monte Carlo simulations, we find that standard seasonal filters induce spurious autoregressive dynamics on white noise series, a phenomenon already...

This paper considers the specification and performance of jackknife estimators of the autoregressive coefficient in a model with a near-unit root. The limit distributions of sub-sample estimators that are used in the construction of the jackknife estimator are derived, and the joint moment...

Several modified estimation methods of the memory parameter have been introduced in the past years. They aim to decrease the upward bias of the memory parameter in cases of low frequency contaminations or an additive noise component, especially in situations with a short-memory process being...

Econometric analysis requires filtering techniques that are adapted to cater to data sequences that are short and that have strong trends. Whereas the economists have tended to conduct their analyses in the time domain, the engineers have emphasised the frequency domain. This paper places its...

ℓ1 polynomial trend filtering, which is a filtering method described as an ℓ1-norm penalized least-squares problem, is promising because it enables the estimation of a piecewise polynomial trend in a univariate economic time series without prespecifying the number and location of knots. This...

We retrieve news stories and earnings announcements of the S&P 100 constituents from two professional news providers, along with ten macroeconomic indicators. We also gather data from Google Trends about these firms' assets as an index of retail investors' attention. Thus, we create an extensive...