It is well known that in a vector autoregressive (VAR) model Granger non-causality is characterized by a set of restrictions on the VAR coefficients. This characterization has been derived under the assumption of non-singularity of the covariance matrix of the innovations. This note shows that...

Credible Granger-causality analysis appears to require post-sample inference, as it is well-known that in-sample fit can be a poor guide to actual forecasting effectiveness. However, post-sample model testing requires an often-consequential <em>a priori</em> partitioning of the data into an...

The extraction of a common signal from a group of time series is generally obtained using variables recorded with the same frequency or transformed to have the same frequency (monthly, quarterly, etc.). The statistical literature has not paid a great deal of attention to this topic. In this...

This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...

This survey reviews diverse academic production on compositional dynamic series analysis. Although time dimension of compositional series has been little investigated, this kind of data structure is widely available and utilized in social sciences research. This way, a review of the...

Is the risk aversion parameter in the simple intertemporal consumption CAPM "small" as in Hansen and Singleton (1982,1983), or is it that its reciprocal, the intertemporal elasticity of substitution, is small, as in Hall (1988)? This paper attributes the disparate estimates of this fundamental...

The method of instrumental variables (IV) and the generalized method of moments (GMM), and their applications to the estimation of errors-in-variables and simultaneous equations models in econometrics, require data on a sufficient number of instrumental variables that are both exogenous and...

This paper focuses on finding starting-values for the estimation of Vector STAR models. Based on a Monte Carlo study, different procedures are evaluated. Their performance is assessed with respect to model fit and computational effort. I employ (i) grid search algorithms and (ii) heuristic...

This paper proposes plug-in bandwidth selection for kernel density estimation with discrete data via minimization of mean summed square error. Simulation results show that the plug-in bandwidths perform well, relative to cross-validated bandwidths, in non-uniform designs. We further find that...

Examinations of the dynamics of daily returns and volatility in stock markets of the U.S., Hong Kong and mainland China (Shanghai and Shenzhen) over 2 January 2001 to 8 February 2013 suggest: (1) evidence of unidirectional return spillovers from the U.S. to the other three markets; but no...