Showing 1 - 10 of 134
This paper considers testing the unit root hypothesis against a smooth transition autoregressive model as the alternative. The model specification makes it possible to discriminate between nonstationary random walk and stationary nonlinear processes. Some new limit results are presented,...
Persistent link: https://www.econbiz.de/10010281382
This paper considers testing the unit root hypothesis against a smooth transition autoregressive model as the alternative. The model specification makes it possible to discriminate between nonstationary random walk and stationary nonlinear processes. Some new limit results are presented,...
Persistent link: https://www.econbiz.de/10005649224
A bivariate second-order VAR model of money growth and inflation is specified and estimatedby means of least squares. The bias of the parameter estimates is approximated in three ways and new, bias-reduced estimates are computed using the approximations. The effects of bias reduction on...
Persistent link: https://www.econbiz.de/10005651512
Long run purchasing power is tested on 16 OECD countries using data from 1960 to 1994, PPP is rejected for some countries (Canada, Japan, Switzerland, Austria, Italy and Spain) and not rejected for other (Sweden, France, Holland and the United Kingdom). For the latter countries, impulse response...
Persistent link: https://www.econbiz.de/10005190893
of building nonlinear models. Ways of computing multi-step ahead forecasts from nonlinear models are surveyed. Tests of … forecast accuracy in the case where the models generating the forecasts are nested are discussed. There is a numerical example … better forecast by a linear model with a unit root. Finally, some empirical studies that compare forecasts from linear and …
Persistent link: https://www.econbiz.de/10010281245
This paper contains a forecasting exercise on 30 time series, ranging on several fields, from economy to ecology. The statistical approach to artificial neural networks modelling developed by the author is compared to linear modelling and to other three well-known neural network modelling...
Persistent link: https://www.econbiz.de/10010281250
leads to a procedure for making probability forecasts for changes of regimes in a time series, i.e. for turning points …
Persistent link: https://www.econbiz.de/10010281409
This paper contains a forecasting exercise on 30 time series, ranging on several fields, from economy to ecology. The statistical approach to artificial neural networks modelling developed by the author is compared to linear modelling and to other three well-known neural network modelling...
Persistent link: https://www.econbiz.de/10005190861
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
accuracy of forecasts. This is done, for first-order autoregressions and moving averages and for ARFIMA 1,d,0) processes, by … means of a Monte Carlo simulation study. The fractional models are estimated using the technique of Geweke and Porter …
Persistent link: https://www.econbiz.de/10005423845