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Nonparametric regression and the detection of turning points in the Ifo business climate
Abberger, Klaus - 2004
Business climate indicators are used to receive early signals for turning points in the general business cycle. Therefore methods for the detection of turning points in time series are required. Estimations of slopes of a smooth component in the data can be calculated with local polynomial...
Persistent link: https://www.econbiz.de/10011450892
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Nonparametric regression estimation for multivariate null recurrent processes
Cai, Biqing; Tjostheim, Dag - In: Econometrics : open access journal 3 (2015) 2, pp. 265-288
This paper discusses nonparametric kernel regression with the regressor being a d-dimensional ß-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate p n(T)hd, where n(T) is the number of regenerations...
Persistent link: https://www.econbiz.de/10011297654
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Nonparametric HAC Estimation for Time Series Data with Missing Observations
Datta, Deepa - 2012
The Newey and West (1987) estimator has become the standard way to estimate a heteroskedasticity and autocorrelation consistent (HAC) covariance matrix, but it does not immediately apply to time series with missing observations. We demonstrate that the intuitive approach to estimate the true...
Persistent link: https://www.econbiz.de/10013097469
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Real exchange rates and economic fundamentals : an investigation based on a Markov-STAR model
Bertram, Philip; Ma, Jun; Sibbertsen, Philipp - 2015
In this paper we introduce a new nonlinear Markov-STAR model to capture both the markov switching and smooth transition dynamics for real exchange rates. The Markov switching part captures the effect of time variations of the equilibrium exchange rates, while the smooth transition part models...
Persistent link: https://www.econbiz.de/10011429933
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On the equality of real interest rates across borders in integrated capital markets
Minford, Patrick; Peel, David - 2005
The purpose in this letter is first to review briefly the empirical results on the relationship between real interest rates and real exchange rates; this empirical literature provides little support for the hypothesis of Roll that expected real interest rates are equal in general. Our second aim...
Persistent link: https://www.econbiz.de/10011517834
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On the persistence of UK inflation : a long-range dependence approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018
This paper examines the degree of persistence in UK inflation by applying long-memory methods to historical data that … detect any shifts in the degree of persistence, and also run rolling-window and recursive regressions to investigate its … evolution over time. On the whole, the evidence suggests that the degree of persistence of UK inflation has been relatively …
Persistent link: https://www.econbiz.de/10011815117
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On the persistence of UK inflation : a long-range dependence approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018
This paper examines the degree of persistence in UK inflation by applying long-memory methods to historical data that … detect any shifts in the degree of persistence, and also run rolling-window and recursive regressions to investigate its … evolution over time. On the whole, the evidence suggests that the degree of persistence of UK inflation has been relatively …
Persistent link: https://www.econbiz.de/10011819378
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Three methods of forecasting currency crises : which made the run in signaling the South African currency crisis of June 2006?
Knedlik, Tobias (contributor); Scheufele, Rolf (contributor) - 2007
In this paper we test the ability of three of the most popular methods to forecast the South African currency crisis of June 2006. In particular we are interested in the out-ofsample performance of these methods. Thus, we choose the latest crisis to conduct an out-of-sample experiment. In sum,...
Persistent link: https://www.econbiz.de/10003613014
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Long memory and structural changes in the forward discount : an empirical investigation
Choi, Kyongwook; Zivot, Eric - 2003
persistence of the forward discount. However, after removing the breaks, we still find evidence of stationary long memory in all …
Persistent link: https://www.econbiz.de/10011512994
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Rational Speculative Bubbles and Commodities Markets : Application of Duration Dependence Test
Went, Peter - 2011
The presence of rational speculative bubbles in 28 commodities is investigated using the duration dependence test on the stochastic interest-adjusted basis. 11 of 28 commodities experienced some episodes of rational speculative bubble. These commodities are WTI crude oil, coffee, corn, soybean...
Persistent link: https://www.econbiz.de/10013121177