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Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity
Meitz, Mika; Saikkonen, Pentti - 2012
We consider maximum likelihood estimation of a particular noninvertible ARMA model with autoregressive conditionally … economic and financial applications. Unlike in previous literature on maximum likelihood estimation of noncausal and …/or noninvertible ARMA models and all-pass models, our estimation theory does allow for Gaussian innovations. We give conditions under …
Persistent link: https://www.econbiz.de/10010500222
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Testing for Predictability in a Noninvertible ARMA Model
Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - 2012
We develop likelihood-based tests for autocorrelation and predictability in a first order non-Gaussian and noninvertible ARMA model. Tests based on a special case of the general model, referred to as an all-pass model, are also obtained. Data generated by an all-pass process are uncorrelated...
Persistent link: https://www.econbiz.de/10010500219
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Testing for Purchasing Power Parity in Cointegrated Panels
Carlsson, Mikael; Lyhagen, Johan; Österholm, Pär - 2007
This paper applies the recently developed maximum-likelihood-panel cointegration method of Larsson and Lyhagen (2007) to test the strong PPP hypothesis during the recent ‡oat period on data for the G7 countries. This method is robust in several important dimensions relative to previous methods,...
Persistent link: https://www.econbiz.de/10010321519
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Purchasing power parity and the European single currency: some new evidence
Christidou, Maria; Panagiotidis, Theodore - 2010
The effect of the single currency on the Purchasing Power Parity (PPP) hypothesis is examined in this study for the 15 EU countries, vis a vis the US dollar, before and after the advent of the euro. Standard as well as nonlinear unit root tests are employed on the time series dimension. Unit...
Persistent link: https://www.econbiz.de/10010273678
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PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-sectional Dependency and Structural Breaks
Holmes, Mark J.; Otero, Jesús; Panagiotidis, Theodore - 2011
The stationarity of OECD real exchange rates over the period 1972-2008 is tested using a panel of twenty six member countries. The methodology followed stems from the need to meet several key concerns: (i) the identification of which panel members are stationary; (ii) the presence of...
Persistent link: https://www.econbiz.de/10010500197
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An evaluation of the contractionary devaluation hypothesis
Bebczuk, Ricardo; Galindo, Arturo; Panizza, Ugo - 2006
Recent empirical and theoretical literature on the impact of real exchange rate devaluations on economic performance questions the traditional expansionary effect generated within standard Mundell-Fleming models. Contractionary devaluations may arise when firms face maturity or currency...
Persistent link: https://www.econbiz.de/10010278234
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Is the Chinese currency substantially misaligned to warrant further appreciation?
Qin, Duo; He, Xinhua - 2010
estimation is based on a commonly used economic approach, but with a wider and more up-to-date coverage of data and a more …
Persistent link: https://www.econbiz.de/10010280745
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Getting PPP right: Identifying mean-reverting real exchange rates in panels
Chortareas, Georgios; Kapetanios, George - 2008
Recent advances in testing for the validity of Purchasing Power Parity (PPP) focus on the time series properties of real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as to which cross-section units are stationary. As a...
Persistent link: https://www.econbiz.de/10010280777
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Risk and Rationality : Uncovering Heterogeneity in Probability Distortion
Bruhin, Adrian; Fehr-Duda, Helga; Epper, Thomas - 2009
It has long been recognized that there is considerable heterogeneity in individual risk taking behavior but little is known about the distribution of risk taking types. We present a parsimonious characterization of risk taking behavior by estimating a finite mixture regression model for three...
Persistent link: https://www.econbiz.de/10014207351
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The Rise and Fall of U.S. Inflation Persistence
Beechey, Meredith; Österholm, Pär - 2007
This paper estimates the path of inflation persistence in the United States over the last 50 years and draws implications about the evolution of the Federal Reserve's monetary-policy preferences. Standard models of central bank optimization predict that the central bank's preference for output...
Persistent link: https://www.econbiz.de/10010321537