Narrow search
Showing 1 - 10 of 75
Cover Image
Measuring macroeconomic convergence and divergence within EMU using long memory
Dräger, Lena; Kolaiti, Theoplasti; Sibbertsen, Philipp - 2020
existence of fractional cointegration relations. The notion of fractional cointegration allows for long-term equilibria with a … higher degree of persistence than allowed for in the standard cointegration framework. We investigate both inflation and … persistence structure we find evidence of fractional cointegration as well as a lower persistence before the crisis and a higher …
Persistent link: https://www.econbiz.de/10012252805
Cover Image
Testing for breaks in the cointegrating relationship : on the stability of government bond markets' equilibrium
Rodrigues, Paulo M. M.; Sibbertsen, Philipp; Voges, Michelle - 2019 - This version: June 25, 2019
In this paper, test procedures for no fractional cointegration against possible breaks in the persistence structure of … Breitung (2006) test statistic for no cointegration over possible breakpoints in the long-run equilibrium. We show that the new …
Persistent link: https://www.econbiz.de/10012026947
Cover Image
Measuring macroeconomic convergence and divergence within EMU using long memory
Dräger, Lena; Kolaiti, Theoplasti; Sibbertsen, Philipp - In: Empirical economics : a quarterly journal of the … 65 (2023) 5, pp. 2333-2356
Persistent link: https://www.econbiz.de/10014388932
Cover Image
Optimal forecasts in the presence of discrete structural breaks under long memory
Mboya, Mwasi Paza; Sibbertsen, Philipp - 2022
We develop methods to obtain optimal forecast under long memory in the presence of a discrete structural break based on different weighting schemes for the observations. We observe significant changes in the forecasts when long-range dependence is taken into account. Using Monte Carlo...
Persistent link: https://www.econbiz.de/10014247842
Cover Image
Optimal forecasts in the presence of discrete structural breaks under long memory
Mboya, Mwasi Paza; Sibbertsen, Philipp - In: Journal of forecasting 42 (2023) 7, pp. 1889-1908
Persistent link: https://www.econbiz.de/10014432798
Cover Image
Identification problems in ESTAR models and a new model
Donauer, Stefanie; Heinen, Florian; Sibbertsen, Philipp - 2010
In ESTAR models it is usually difficult to determine parameter estimates, as it can be observed in the literature. We show that the phenomena of getting strongly biased estimators is a consequence of the so-called identification problem, the problem of properly distinguishing the transition...
Persistent link: https://www.econbiz.de/10003950818
Cover Image
What do we know about real exchange rate nonlinearities?
Kruse, Robinson; Frömmel, Michael; Menkhoff, Lukas; … - In: Empirical economics : a journal of the Institute for … 43 (2012) 2, pp. 457-474
Persistent link: https://www.econbiz.de/10009630353
Cover Image
A simple specification procedure for the transition function in persistent nonlinear time series models
Kaufmann, Hendrik; Kruse, Robinson; Sibbertsen, Philipp - In: Recent advances in estimating nonlinear models : with …, (pp. 169-191). 2014
Persistent link: https://www.econbiz.de/10011406769
Cover Image
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
Rothe, Christoph (contributor);  … - 2005
In this paper, we propose Phillips-Perron type, semiparametric testing procedures to distinguish a unit root process from a mean-reverting exponential smooth transition autoregressive one. The limiting nonstandard distributions are derived under very general conditions and simulation evidence...
Persistent link: https://www.econbiz.de/10002926863