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Unit root tests: The role of the univariate models implied by multivariate time series

Cappuccio, Nunzio; Lubian, Diego - In: Econometrics 4 (2016) 2, pp. 1-11

In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series. In this note, we point out that this procedure may imply large size distortion of the unit root tests if the DGP is a VAR. It is well-known that univariate models implied by a...

Persistent link: https://www.econbiz.de/10011755326

Oil price and economic growth: A long story?

Gadea, María Dolores; Gómez-Loscos, Ana; Montañés, … - In: Econometrics 4 (2016) 4, pp. 1-28

This study investigates changes in the relationship between oil prices and the US economy from a long-term perspective. Although neither of the two series (oil price and GDP growth rates) presents structural breaks in mean, we identify different volatility periods in both of them, separately....

Persistent link: https://www.econbiz.de/10011755344

A simple test for causality in volatility

Chang, Chia-Lin; McAleer, Michael - In: Econometrics 5 (2017) 1, pp. 1-5

An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng (1996). A subsequent development was the Lagrange...

Persistent link: https://www.econbiz.de/10011755368

Maximum likelihood estimation for the fractional Vasicek model

Tanaka, Katsuto; Xiao, Weilin; Yu, Jun - In: Econometrics 8 (2020) 3, pp. 1-28

maximum likelihood (ML). The asymptotic theory for the ML estimates (MLE) is established in the stationary case, the explosive … analysis. It is shown that changing the sign of the persistence parameter changes the asymptotic theory for the MLE, including … the rate of convergence and the limiting distribution. It is also found that the asymptotic theory depends on the value of …

Persistent link: https://www.econbiz.de/10012696295

A VECTOR ERROR CORRECTION AND NONNESTED MODELLING OF MONEY DEMAND FUNCTION IN NIGERIA

Nwaobi, Godwin - EconWPA - 2001

This paper examines the stability of the demand for money in nigeria. With relatively simple model specifying a vector valued autoregressive process(VAR), the hypothesis of the existence of cointegration vectors is formulated as the hypothesis of reduced rank of the longrun impact matrix. This...

Persistent link: https://www.econbiz.de/10005119093

Causation Delays and Causal Neutralization for General Horizons: The Money-Output Relationship Revisited

Hill, Jonathan B. - EconWPA - 2004

In this paper, we develop a parametric test procedure for multiple horizon "Granger" causality and apply the procedure to the well established problem of determining causal patterns in aggregate monthly U.S. money and output. As opposed to most papers in the parametric causality literature, we...

Persistent link: https://www.econbiz.de/10005119144

New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach

SULEIMANN, Ryan - EconWPA - 2003

The episodes of stock market crises in Europe and the U.S.A. since the year 2000,and the fragility of the New Technology sector after the explosion of the speculative bubble,have sparked the interest of researchers in understanding and in modeling this market’s high volatility to prevent...

Persistent link: https://www.econbiz.de/10005119158

What causes the forecasting failure of Markov-Switching models? A Monte Carlo study

Bessec, Marie; Bouabdallah, Othman - EconWPA - 2005

This paper explores the forecasting abilities of Markov-Switching models. Although MS models generally display a superior in-sample fit relative to linear models, the gain in prediction remains small. We confirm this result using simulated data for a wide range of specifications by applying...

Persistent link: https://www.econbiz.de/10005556398

The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach

SULEIMANN, Ryan - EconWPA - 2003

This article uses models with changes in regime and conditional variance to show the presence of co-movement between the American and the French New Technology indexes, the NASDAQ-100 and the IT.CAC respectively. For the past two years, American and French New Technology stock markets have been...

Persistent link: https://www.econbiz.de/10005556399

On detecting and modeling periodic correlation in financial data

Broszkiewicz-Suwaj, Ewa; Makagon, Andrzej; Weron, Rafal; … - EconWPA - 2005

For many economic problems standard statistical analysis, based on the notion of stationarity, is not adequate. These include modeling seasonal decisions of consumers, forecasting business cycles and - as we show in the present article - modeling wholesale power market prices. We apply standard...

Persistent link: https://www.econbiz.de/10005407946