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SEMIFAR forecasts, with applications to foreign exchange rates

Beran, Jan; Ocker, Dirk - 1999

SEMIFAR models introduced in Beran (1999) provide a semiparametric modelling framework that enables the data analyst to separate deterministic and stochastic trends as well as short- and long-memory components in an observed time series. A correct distinction between these components, and in...

Persistent link: https://www.econbiz.de/10011544579

The effects of variance breaks on homogenous panel unit root tests

Herwartz, Helmut; Siedenburg, Florian - 2009

Noting that many economic variables display occasional shifts in their second order moments, we investigate the performance of homogenous panel unit root tests in the presence of permanent volatility shifts. It is shown that in this case, panel unit root tests derived under time invariant...

Persistent link: https://www.econbiz.de/10003887238

An empirical study on causes and consequences of inflation and inflation uncertainty

Hartmann, Matthias - 2012

Empirical study of causality between inflation, inflation uncertainty and other macroeconomicy quantities. Additionally, the issue of how to measure the unobservable inflation uncertainty is addressed.

Persistent link: https://www.econbiz.de/10009671994

State dependence in the finance-growth nexus : a functional coefficient approach

Herwartz, Helmut; Yabibal Mulualem Walle - 2013

Noting that "one size does not fit all" in the case of the finance-growth (FG) nexus, a growing body of literature has recently focused on uncovering economic conditions under which financial development could be beneficial (detrimental) to economic development. We look into these conditions by...

Persistent link: https://www.econbiz.de/10009752169

A new approach to bootstrap inference in functional coefficient models

Herwartz, Helmut (contributor); Fang, Xu (contributor) - 2007

We introduce a new, factor based bootstrap approach which is robust under heteroskedastic error terms for inference in functional coefficient models. Modeling the functional coefficient parametrically, the bootstrap approximation of an F statistic is shown to hold asymptotically. In simulation...

Persistent link: https://www.econbiz.de/10003477963

SEMIFAR forecasts, with applications to foreign exchange rates

Beran, Jan; Ocker, Dirk - 1999

Persistent link: https://www.econbiz.de/10001387125

Volatility of stock market indices : an analysis based on SEMIFAR models

Beran, Jan; Ocker, Dirk - 1999

By applying SEMIFAR models (Beran, 1999), we examine 'long memory' in the volatility of worldwide stock market indices. Our analysis yields strong evidence of 'long memory' in stock market volatility, either in terms of stochastic long-range dependence or in form of deterministic trends. In some...

Persistent link: https://www.econbiz.de/10011543477

SEMIFAR models, with applications to commodities, exchange rates and the volatility of stock market indices

Beran, Jan; Feng, Yuanhua; Franke, Günter; Hess, Dieter; … - 1999

The distinction between stationarity, difference stationarity, deterministic trends as well as between short- and long-range dependence has a major impact on statistical conclusions, such as confidence intervals for population quantities or point and interval forecasts. In this paper, recent...

Persistent link: https://www.econbiz.de/10011543928

Long-run links among money, prices, and output : world-wide evidence

Herwartz, Helmut; Reimers, Hans-Eggert - 2001

analyse this topic by means of a P-star model. Based on the quantity theory of money, this approach explains inflation via a …. Moreover, parameter restrictions for the long-run relationships implied by the monetary theory are tested. Country specific P … Preisniveau und dem realen Output testet. Weiterhin werden die Parameterrestriktionen, die sich durch die monet¨are Theorie …

Persistent link: https://www.econbiz.de/10011419407

Skill policies for Scotland

Heckman, James J. (contributor); … - 2004

This paper argues that skill formation is a life-cycle process and develops the implications of this insight for Scottish social policy. Families are major producers of skills, and a successful policy needs to promote effective families and to supplement failing ones. We present evidence that...

Persistent link: https://www.econbiz.de/10002540578

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