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On the least squares estimation of multiple-regime threshold autoregressive models

Li, Dong; Ling, Shiqing - In: Journal of Econometrics 167 (2012) 1, pp. 240-253

This paper studies the least squares estimator (LSE) of the multiple-regime threshold autoregressive (TAR) model and establishes its asymptotic theory. It is shown that the LSE is strongly consistent. When the autoregressive function is discontinuous over each threshold, the estimated thresholds...

Persistent link: https://www.econbiz.de/10010577520

A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions

Hurn, A.S.; Lindsay, K.A.; McClelland, A.J. - In: Journal of Econometrics 172 (2013) 1, pp. 106-126

which the transitional density is a multivariate Gaussian density with first and second moments approximating the true … moments of the unknown density. For affine drift and diffusion functions, the moments are exactly those of the true … transitional density and for nonlinear drift and diffusion functions the approximation is extremely good and is as effective as …

Persistent link: https://www.econbiz.de/10010594960

Spurious regressions in technical trading

Shintani, Mototsugu; Yabu, Tomoyoshi; Nagakura, Daisuke - In: Journal of Econometrics 169 (2012) 2, pp. 301-309

This paper investigates the spurious effect in forecasting asset returns when signals from technical trading rules are used as predictors. Against economic intuition, the simulation result shows that, even if past information has no predictive power, buy or sell signals based on the difference...

Persistent link: https://www.econbiz.de/10010664685

Model selection in under-specified equations facing breaks

Castle, Jennifer L.; Hendry, David F. - In: Journal of Econometrics 178 (2014) P2, pp. 286-293

When a model under-specifies the data generation process, model selection can improve over estimating a prior specification, especially if location shifts occur. Impulse-indicator saturation (IIS) can ‘correct’ non-constant intercepts induced by location shifts in omitted variables, which...

Persistent link: https://www.econbiz.de/10010730127

A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data

Liu, Cheng; Tang, Cheng Yong - In: Journal of Econometrics 180 (2014) 2, pp. 217-232

Estimating the integrated covariance matrix (ICM) from high frequency financial trading data is crucial to reflect the volatilities and covariations of the underlying trading instruments. Such an objective is difficult due to contaminated data with microstructure noises, asynchronous trading...

Persistent link: https://www.econbiz.de/10010776916

Forecasting by factors, by variables, by both or neither?

Castle, Jennifer L.; Clements, Michael P.; Hendry, David F. - In: Journal of Econometrics 177 (2013) 2, pp. 305-319

We consider forecasting with factors, variables and both, modeling in-sample using Autometrics so all principal components and variables can be included jointly, while tackling multiple breaks by impulse-indicator saturation. A forecast-error taxonomy for factor models highlights the impacts of...

Persistent link: https://www.econbiz.de/10010709434

Modelling volatility by variance decomposition

Amado, Cristina; Teräsvirta, Timo - In: Journal of Econometrics 175 (2013) 2, pp. 142-153

In this paper, we propose two parametric alternatives to the standard GJR-GARCH model of Glosten et al. (1993), based on additive and multiplicative decompositions of the variance. They allow the variance of the model to have a smooth time-varying structure. The suggested parameterizations...

Persistent link: https://www.econbiz.de/10011052196

Residual-based rank specification tests for AR–GARCH type models

Andreou, Elena; Werker, Bas J.M. - In: Journal of Econometrics 185 (2015) 2, pp. 305-331

This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR–GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual autocorrelation, residual symmetry, and no structural breaks. We...

Persistent link: https://www.econbiz.de/10011190707

Unpredictability in economic analysis, econometric modeling and forecasting

Hendry, David F.; Mizon, Grayham E. - In: Journal of Econometrics 182 (2014) 1, pp. 186-195

Unpredictability arises from intrinsic stochastic variation, unexpected instances of outliers, and unanticipated extrinsic shifts of distributions. We analyze their properties, relationships, and different effects on the three arenas in the title, which suggests considering three associated...

Persistent link: https://www.econbiz.de/10010785285

Adaptively combined forecasting for discrete response time series

Zhang, Xinyu; Lu, Zudi; Zou, Guohua - In: Journal of Econometrics 176 (2013) 1, pp. 80-91

Adaptive combining is generally a desirable approach for forecasting, which, however, has rarely been explored for discrete response time series. In this paper, we propose an adaptively combined forecasting method for such discrete response data. We demonstrate in theory that the proposed...

Persistent link: https://www.econbiz.de/10010679103

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