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A nonlinear alternative to the unit root hypothesis

Eklund, Bruno - 2003

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

A nonlinear alternative to the unit root hypothesis

Eklund, Bruno - Economics Institute for Research (SIR), … - 2003

Persistent link: https://www.econbiz.de/10005649224

Money Growth and Inflation: Implications of Reducing the Bias of VAR Estimates

Brännström, Tomas - Economics Institute for Research (SIR), … - 1995

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 Real Exchange Rates - A Cointegration Analysis

Alexius, Annika - Economics Institute for Research (SIR), … - 1996

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

Forecasting economic variables with nonlinear models

Teräsvirta, Timo - 2005

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

Forecasting with artificial network models

Rech, Gianluigi - 2002

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

A classifying procedure for signaling turning points

Koskinen, Lasse; Öller, Lars-Erik - 2001

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

On the Effects of Imposing or Ignoring Long Memory when Forecasting

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

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

Another Look at Swedish Business Cycles, 1861-1988

Skalin, Joakim; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1996

This paper considers nine long Swedish macroeconomic time series whose business cycle properties were discussed by Englund, Persson, and Svensson (1992) using frequency domain techniques. It is found by testing that all but two of the logarithmed and difference series are non-linear. The...

Persistent link: https://www.econbiz.de/10005423876

Stylized Facts of Daily Return Series and the Hidden Markov Model

Rydén, Tobias; Teräsvirta, Timo; Åsbrink, Stefan - Economics Institute for Research (SIR), … - 1996

In two recent papers, Granger and Ding (1995a, b) considered long return series that are first differences of logarithmed price series or price indices. They established a set of temporal and distributional properties for such series and suggested that the returns are well characterized by the...

Persistent link: https://www.econbiz.de/10005649155