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Spectral Based Methods to Identify Common Trends and Common Cycles

Camba-Mendez, Gonzalo; Kapetanios, George - 2021

(1986) showed that a necessary condition for cointegration is that the spectral density matrix of the innovation sequence at … at any given frequency. The tests of rank at frequency zero are tests of the null of 'cointegration', complementary to … those suggested by Phillips and Ouliaris (1988) which test the null of 'no cointegration' …

Persistent link: https://www.econbiz.de/10013320284

On Robust Inference in Time Series Regression

Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - National Bureau of Economic Research - 2024

Least squares regression with heteroskedasticity consistent standard errors ("OLS-HC regression") has proved very useful in cross section environments. However, several major difficulties, which are generally overlooked, must be confronted when transferring the HC technology to time series...

Persistent link: https://www.econbiz.de/10014576582

A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems

Kapetanios, George - 2003

We provide a new method for jointly consistently estimating common trends and cycles in unit root nonstationary multivariate systems. We concentrate on the MA representation of the differenced data and we jointly impose the reduced rank restriction for the common cycles and the common trends on...

Persistent link: https://www.econbiz.de/10014093431

Revisiting useful approaches to data-rich macroeconomic forecasting

Groen, Jan J. J. (contributor); … - 2008

We compare a number of data-rich prediction methods that are widely used in macroeconomic forecasting with a lesser known alternative: partial least squares (PLS) regression. In this method, linear, orthogonal combinations of a large number of predictor variables are constructed such that the...

Persistent link: https://www.econbiz.de/10003781548

Structural Breaks in Stock Returns Driven by Large Shocks

Dendramis, Yiannis - 2013

This paper employes a parametric model of structural breaks in the mean of stock returns which allows them to be endogenously driven by large positive or negative stock market return shocks. These shocks can be taken to reflect important market announcements, monetary policy regime shifts and/or...

Persistent link: https://www.econbiz.de/10013075530

Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting

Groen, Jan J. - 2009

Persistent link: https://www.econbiz.de/10012720604

Testing for Nonstationary Long Memory Against Nonlinear Ergodic Models

Kapetanios, George; Shin, Yongcheol - 2005

Interest in the interface of nonstationarity and nonlinearity has been increasing in the econometric literature. This paper provides a formal method of testing for nonstationary long memory against the alternative of particular forms of nonlinerarity. The nonlinear models we consider are ESTAR...

Persistent link: https://www.econbiz.de/10014076075

Using Extraneous Information and GMM to Estimate Threshold Parameters in Tar Models

Kapetanios, George - 2005

A prominent class of nonlinear time series models are threshold autoregressive models. Recently work by Kapetanios (2000) has shown in a Monte Carlo setting that the superconsistency property of the threshold parameter estimates does not translate to superior performance in small samples....

Persistent link: https://www.econbiz.de/10014076262

Measuring Conditional Persistence in Time Series

Kapetanios, George - 2005

The persistence properties of economic time series has been a primary object of investigation in a variety of guises since the early days of econometrics. This paper suggests investigating the persistence of processes conditioning on their history. In particular we suggest that examining the...

Persistent link: https://www.econbiz.de/10014099012

Testing for Neglected Nonlinearity in Long Memory Models

Kapetanios, George - 2005

Interest in the interface of nonstationarity and nonlinearity has been increasing in the econometric literature. The motivation for this development maybe be traced to the perceived possibility that processes following nonlinear models maybe mistakenly taken to be unit root or long-memory...

Persistent link: https://www.econbiz.de/10014099090

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