Showing 1 - 10 of 1,123
This paper analyses the asymptotic and finite sample implications of different types of nonstationary behavior among the dependent and explanatory variables in a linear spurious regression model. We study cases when the nonstationarity in the dependent and explanatory variables is deterministic...
Persistent link: https://www.econbiz.de/10011109207
seasonality. The presence of zero values in some of the seasons is not explained by the absence of reporting but is the result of … domestic supply of three agricultural commodities in Argentina between 1994 and 2008, which observe the patterns of seasonality … described, is presented. Although, some evidence of stochastic seasonality has been found in some of these series, in general a …
Persistent link: https://www.econbiz.de/10011266121
In this paper it is demonstrated by simulation that, contrary to a widely held belief, pure seasonal mean shifts - i.e., seasonal structural breaks which affect only the deterministic seasonal cycle - really do matter for Dickey-Fuller long-run unit root tests.
Persistent link: https://www.econbiz.de/10005619442
The asymptotic distribution of the Gaussian quasi-maximum likelihood estimator (QMLE) is obtained for a wide class of asymmetric GARCH models with exogenous covariates. The true value of the parameter is not restricted to belong to the interior of the parameter space, which allows us to derive...
Persistent link: https://www.econbiz.de/10011210479
The underlying nature of forecast optimization makes the rational expectations hypothesis (REH) a framework that is theoretically consistent with the expectations formation produced by economic agents under well-defined assumptions of unbiased forecasts and efficient utilization of available...
Persistent link: https://www.econbiz.de/10011258718
We consider linearity testing in a general class of nonlinear time series model of order 1, involving a nonnegative nuisance parameter which (i) is not identified under the null hypothesis and (ii) gives the linear model when equal to zero. This paper studies the asymptotic distribution of the...
Persistent link: https://www.econbiz.de/10005078679
This article is concerned by testing the nullity of coefficients in GARCH models. The problem is non standard because the quasi-maximum likelihood estimator is subject to positivity constraints. The paper establishes the asymptotic null and local alternative distributions of Wald, score, and...
Persistent link: https://www.econbiz.de/10005078683
This paper attempts to examine the weak form of market efficiency in the Indian foreign exchange market using a family of variance ratio tests. Monthly Nominal Effective Exchange Rate (NEER) data from April 1993-June 2010 were used for the analysis. NEER series was considered for the analysis as...
Persistent link: https://www.econbiz.de/10009652037
This paper proposes a measure of real-time inflation expectations based on metadata, i.e., data about data, constructed from internet search queries performed on the search engine Google. The forecasting performance of the Google Inflation Search Index (GISI) is assessed relative to 37 other...
Persistent link: https://www.econbiz.de/10009647210
The Rational Expectations Hypothesis (REH) states that the actual outcome will be identical to the optimal forecast when all obtainable information had been utilized in forming the expectations. This study intends to empirically examine the existence of rational behavior in the banks and other...
Persistent link: https://www.econbiz.de/10009647241