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Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning

Christopeit, Norbert - 2010

In this paper we consider regression models with forecast feedback. Agents' expectations are formed via the recursive estimation of the parameters in an auxiliary model. The learning scheme employed by the agents belongs to the class of stochastic approximation algorithms whose gain sequence is...

Persistent link: https://www.econbiz.de/10013139606

Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes

Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - 2012

We characterize the dynamic properties of Generalized Autoregressive Score (GAS) processes by identifying regions of the parameter space that imply stationarity and ergodicity. We show how these regions are affected by the choice of parameterization and scaling, which are key features of GAS...

Persistent link: https://www.econbiz.de/10010326396

Mean and Bold?

Witte, Kristof De; Dijkgraaf, Elbert - 2007

The Dutch drinking water sector experienced two drastic changes over the last 10 years. Firstly, in 1997, the sector association started with a voluntary benchmarking aimed to increase the efficiency and effectiveness of the sector. Secondly, merger activity arose. This paper develops a tailored...

Persistent link: https://www.econbiz.de/10010325538

Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series

Koopman, Siem Jan; Wong, Soon Yip - 2006

A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...

Persistent link: https://www.econbiz.de/10010325589

Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean

Blasques, Francisco - 2012

This paper proposes a new set of transformed polynomial functions that provide a flexible setting for nonlinear autoregressive modeling of the conditional mean while at the same time ensuring the strict stationarity, ergodicity, fading memory and existence of moments of the implied stochastic...

Persistent link: https://www.econbiz.de/10010326532

How Large is Average Economic Growth? Evidence from a Robust Method

Boswijk, H. Peter; Franses, Philip Hans - 2002

This paper puts forward a method to estimate average economic growth, andits associated confidence bounds, which does not require a formal decision onpotential unit root properties. The method is based on the analysis of eitherdifference-stationary or trend-stationary time series models,...

Persistent link: https://www.econbiz.de/10010324977

A New Semiparametric Volatility Model

Ji, Jiangyu; Lucas, Andre - 2012

We propose a new semiparametric observation-driven volatility model where the form of the error density directly … influences the volatility dynamics. This feature distinguishes our model from standard semiparametric GARCH models. The link … between the estimated error density and the volatility dynamics follows from the application of the generalized autoregressive …

Persistent link: https://www.econbiz.de/10010326169

A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily continuously compounded...

Persistent link: https://www.econbiz.de/10010326508

Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach

Haldrup, Niels; Jansson, Michael - 1999

This paper introduces a representation of an integrated vectortime series in which the coefficient of multiple correlation computed fromthe long-run covariance matrix of the innovation sequences is a primitiveparameter of the model. Based on this representation, a notion of nearcointegration is...

Persistent link: https://www.econbiz.de/10010324535

Cross- and Auto-Correlation Effects arising from Averaging: The Case of US Interest Rates and Equity Duration

Hallerbach, Winfried G. - 2000

Most of the available monthly interest data series consist of monthlyaverages of daily observations. It is well-known that this averaging introduces spurious autocorrelation effectsin the first differences of the series. It isexactly this differenced series we are interested in when...

Persistent link: https://www.econbiz.de/10010324663

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