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Franses, Philip Hans; Lucas, André - 1998

Standard unit root tests and cointegration tests are sensitive to atypical events such as outliers and structural … breaks. This paper uses outlier robust estimation techniques to reduce the impact of these events on cointegration analysis … based on real-life data to show that OLS-based cointegration tests can spuriously indicate stationarity …

Persistent link: https://www.econbiz.de/10014073583

Testing for Arch in the Presence of Additive Outliers

Franses, Philip Hans; Lucas, André; Dijk, Dick van - 1998

In this paper we investigate the properties of the Lagrange Multiplier (LM) test for autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliers (AO's). We show analytically that both the asymptotic size and power are adversely affected...

Persistent link: https://www.econbiz.de/10014200208

Short patches of outliers, ARCH and volatility modeling

Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998

In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...

Persistent link: https://www.econbiz.de/10011284080

Testing for Smooth Transition Nonlinearity in the Presence of Outliers

Franses, Philip Hans; Lucas, André; Dijk, Dick van - 1998

In the present paper we confine ourselves to proposing tests for smooth transition nonlinearity in the presence ou outliers. We consider outlier robust estimation techniques to modify the tests developed by Luukkonen et al

Persistent link: https://www.econbiz.de/10014072270

Increasing Seasonal Variation; Unit Roots Versus Shifts in Mean And Trend

Franses, Philip Hans; Hobijn, Bart - 1998

In this paper we consider model selection for time series with increasing (or decreasing) seasonal variation, where this variation can be described by (seasonal) unit root models with significant deterministic components or by models with less unit roots but with shiftsin seasonal means or trends

Persistent link: https://www.econbiz.de/10014072340

On modeling panels of time series

Franses, Philip Hans (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001692936

GARCH effects on a test of cointegration

Franses, Philip Hans; Kofman, Paul; Moser, James T. - 1993

Persistent link: https://www.econbiz.de/10000893748

Outlier Detection in Cointegration Analysis

Franses, Philip Hans; Lucas, André - 2014

Unit root tests and cointegration tests are sensitive to atypical events as outliers and structural breaks. This paper … uses outlier robust estimation techniques to reduce the impact of these events on cointegration analysis. As a byproduct of … that OLS based cointegration can yield spurious cointegration …

Persistent link: https://www.econbiz.de/10014088271

Chapter 18 Forecasting in Marketing

Franses, Philip Hans - 2006

With the advent of advanced data collection techniques, there is an increased interest in using econometric models to support decisions in marketing. Due to the sometimes specific nature of variables in marketing, the discipline uses econometric models that are rarely, if ever, used elsewhere....

Persistent link: https://www.econbiz.de/10014023688

Long Memory and Level Shifts : Re-Analyzing Inflation Rates

Bos, Charles S.; Franses, Philip Hans; Ooms, Marius - 1999

A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long-lasting effect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for inflation,...

Persistent link: https://www.econbiz.de/10014184339