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Maximum likelihood estimation of the multivariate fractional cointegrating model

Lyhagen, Johan - Economics Institute for Research (SIR), … - 1998

Departures from an economic equilibrium should be mean reverting. The deviations are often assumed to be integrated of order zero but this is too restrictive. It is sufficient that the shocks are integrated of an order less than one, i.e. they may be fractionally integrated. A fractionally...

Persistent link: https://www.econbiz.de/10005207187

Do Long-Memory Models Have Long Memory?

Andersson, Michael K. - Economics Institute for Research (SIR), … - 1998

This paper examines the predictability memory of fractionally integrated ARMA processes. Very long memory is found for positively fractionally integrated processes with large positive AR parameters. However, negative AR parameters absorb, to a great extent, the memory generated by a positive...

Persistent link: https://www.econbiz.de/10005190887

Power and Bias of Likelihood Based Inference in the Cointegration Model under Fractional Cointegration

Andersson, Michael K.; Gredenhoff, Mikael P. - Economics Institute for Research (SIR), … - 1998

This paper investigates how fractional cointegration affects the common maximum likelihood cointegration procedure. It is shown that the likelihood ratio test of no cointegration has considerable power against fractional alternatives. In contrast to the case of a cointegrated system, the usual...

Persistent link: https://www.econbiz.de/10005190901

On the Effects of Imposing or Ignoring Long Memory when Forecasting

Andersson, Michael K. - Economics Institute for Research (SIR), … - 1998

Since the true nature of a time series process is often unknown it is important to understand the effects of model choice. This paper examines how the choice between modelling stationary time series as ARMA or ARFIMA processes affects the accuracy of forecasts. This is done, for first-order...

Persistent link: https://www.econbiz.de/10005423845

A Simple Linear Time Series Model with Misleading Nonlinear Properties

Andersson, Michael K.; Eklund, Bruno; Lyhagen, Johan - Economics Institute for Research (SIR), … - 1999

This paper demonstrates that long memory leads to spurious rejection of the linearity hypothesis, when a STAR specification constitutes the alternative.

Persistent link: https://www.econbiz.de/10005423859

Rational Bubbles and Fractional Alternatives

Andersson, Michael K.; Nydahl, Stefan - Economics Institute for Research (SIR), … - 1998

This paper suggests a new and more flexible framework for studying the existence of rational bubbles in stock prices. The present value model provides the robust no rational bubbles restriction of a stationary price-dividend ratio. The validity of this restriction has previously been...

Persistent link: https://www.econbiz.de/10005649343

Evaluating exponential GARCH models

Malmsten, Hans - 2004

testing parameter constancy. Furthermore, various existing ways of testing the EGARCH model against GARCH one are investigated …

Persistent link: https://www.econbiz.de/10010281223

A simple efficient GMM estimator of GARCH models

Skoglund, Jimmy - 2001

This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the … estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In … addition efficiency results are obtained in the general framework of the GARCH(1,1)-M regression model. …

Persistent link: https://www.econbiz.de/10010281314

An introduction to univariate GARCH models

Teräsvirta, Timo - 2006

mentioned, and various extensions of the standard GARCH model are highlighted. This includes the Exponential GARCH model …

Persistent link: https://www.econbiz.de/10010281357

A necessary and sufficient condition for the strict stationarity of a family of GARCH processes

Meitz, Mika - 2005

We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a). This family contains various … popular GARCH models as special cases. A necessary and sufficient condition for the existence of a strictly stationary …

Persistent link: https://www.econbiz.de/10010281442