Showing 1 - 10 of 1,018
An exploratory estimation of ARFIMA(p,d,q) models showed that the estimated d is sensitive to the short-term dynamics included. To address this issue, I run a series of Monte Carlo experiments and test the performance (i) of the AIC and the SIC in selecting p and q and (ii) of the AIC, the SIC...
Persistent link: https://www.econbiz.de/10010569198
An exploratory estimation of ARFIMA(p,d,q) models showed that the estimated d is sensitive to the short-term dynamics included. To address this issue, I run a series of Monte Carlo experiments and test the performance (i) of the AIC and the SIC in selecting p and q and (ii) of the AIC, the SIC...
Persistent link: https://www.econbiz.de/10010570205
An exploratory estimation of ARFIMA(p,d,q) models showed that the estimated d is sensitive to the short-term dynamics included. To address this issue, I run a series of Monte Carlo experiments and test the performance (i) of the AIC and the SIC in selecting p and q and (ii) of the AIC, the SIC...
Persistent link: https://www.econbiz.de/10008854569
The theme of unit roots in macroeconomic time series have received a great amount of attention in terms of theoretical and applied research over the last three decades. Since the seminal work by Nelson and Plosser (1982), testing for the presence of a unit root in the time series data has become...
Persistent link: https://www.econbiz.de/10009457331
We investigate the sustainability of fiscal policy in a set of 19 countries by taking a longer-run secular perspective over the period 1880–2009. Via a systematic analysis of the stationarity of the first-differenced level of government debt, and disentangling the components of the debt series...
Persistent link: https://www.econbiz.de/10011155336
Using a new iterative algorithm that tests for possible breaks in the coefficients and residual variances of recursively identified structural equations, we examine changes in the parameters of the oil market model of Kilian (2009). Our analysis reveals breaks in the coefficients of the oil...
Persistent link: https://www.econbiz.de/10011167122
We propose to apply the group fused Lasso to estimate time series models with endogenous regressors and an unknown number of breaks. It can correctly determine the number of breaks and estimate the break dates asymptotically. Simulations and applications are given.
Persistent link: https://www.econbiz.de/10011116212
This study investigates the existence of regional convergence of per capita outputs in China from 1952–2004, particularly focusing on considering the presence of multiple structural breaks in the provincial-level panel data. First, the panel-based unit root test that allows for occurrence of...
Persistent link: https://www.econbiz.de/10005621418
This paper combines two major strands of literature: structural breaks and Taylor rules. At first, I propose a nonstandard t-test statistic for detecting multiple level and trend breaks of I(0) series by supplying theoretical and limit-distribution critical values obtained from Montecarlo...
Persistent link: https://www.econbiz.de/10005789492
In this paper I propose a nonstandard t-test statistic for detecting level and trend breaks of I(0) series. Theoretical and limit-distribution critical values obtained from Montecarlo experimentation are supplied. The null hypothesis of anthropogenic versus natural causes of global warming is...
Persistent link: https://www.econbiz.de/10005837227