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Nowcasting causality in mixed frequency vector autoregressive models

Götz, Thomas B.; Hecq, Alain - In: Economics Letters 122 (2014) 1, pp. 74-78

This paper introduces nowcasting causality as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in a mixed-frequency VAR and illustrate its impact on the significance of high-frequency variables in mixed-frequency...

Persistent link: https://www.econbiz.de/10011041595

Long memory and changing persistence

Kruse, Robinson; Sibbertsen, Philipp - In: Economics Letters 114 (2012) 3, pp. 268-272

We study the empirical behaviour of semi-parametric estimation for long-memory models when the true data generating process exhibits a change in persistence. Evidence for long memory is likely to be found. Procedures for discrimination between different models are proposed.

Persistent link: https://www.econbiz.de/10010572134

On tests for linearity against STAR models with deterministic trends

Kaufmann, Hendrik; Kruse, Robinson; Sibbertsen, Philipp - In: Economics Letters 117 (2012) 1, pp. 268-271

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

Persistent link: https://www.econbiz.de/10010580492

Performance of nonlinear instrumental variable unit root tests using recursive detrending methods

Lee, Hyejin; Meng, Ming; Lee, Junsoo - In: Economics Letters 117 (2012) 1, pp. 214-216

We examine the performance of nonlinear instrumental variable (NIV) unit root tests using various recursive detrending methods. We find that the NIV unit root tests using the recursive detrending method of Chang (2002) are the most powerful. They are more powerful than OLS based DF tests.

Persistent link: https://www.econbiz.de/10010580544

The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break

Neto, David - In: Economics Letters 125 (2014) 2, pp. 208-211

In this paper we extend the FMLS-based CUSUM cointegration test (Xiao and Phillips, 2002) for testing the smooth time-varying cointegration null hypothesis. For this purpose we use Chebyshev time polynomials to specify time-varying coefficients under the null. We derive the limiting distribution...

Persistent link: https://www.econbiz.de/10011076529

GLS-based unit root tests for bounded processes

Carrion-i-Silvestre, Josep Lluís; Gadea, María Dolores - In: Economics Letters 120 (2013) 2, pp. 184-187

-centrality parameter leads to important empirical power gains compared to using the ordinary least squares (OLS-)detrending method when …

Persistent link: https://www.econbiz.de/10011041707

Testing of the mean reversion parameter in continuous time models

Iglesias, Emma M. - In: Economics Letters 122 (2014) 2, pp. 187-189

In this paper we use the approximate bias expressions developed in Yu (2012) and Bao et al. (2013) to improve the testing of the ordinary least squares or quasi-maximum likelihood estimator of the mean reversion parameter in continuous time models. We follow the approach given in Iglesias and...

Persistent link: https://www.econbiz.de/10011041801

Is the ‘euro effect’ on trade so small after all? New evidence using gravity equations with panel cointegration techniques

Camarero, Mariam; Gómez, Estrella; Tamarit, Cecilio - In: Economics Letters 124 (2014) 1, pp. 140-142

In this paper we present new evidence on the aggregate effect of the euro on trade using data for 26 OECD countries for the period 1967–2008. We strive to fill the gaps present in the previous literature through a second-generation panel cointegration tests and estimators that account for both...

Persistent link: https://www.econbiz.de/10011041845

Enhancing the local power of IVX-based tests in predictive regressions

Demetrescu, Matei - In: Economics Letters 124 (2014) 2, pp. 269-273

regressors are highly persistent. The reduced convergence rates may sometimes lead to power losses in finite samples when testing … for no predictability, for instance. The note discusses a simple way of improving the local power of IVX-based tests … the power loss of IVX would have been maximal compared to the infeasible OLS-based test. …

Persistent link: https://www.econbiz.de/10010933300

Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV

Lahaye, Jerome; Shaw, Philip - In: Economics Letters 125 (2014) 1, pp. 43-46

This article tests the linearity assumption underlying the popular heterogeneous autoregressive model for realized volatility (HAR-RV). We implement a consistent model specification test that is robust to both distributional and model misspecification. We find that, using a nonparametric HAR-RV...

Persistent link: https://www.econbiz.de/10010939493

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