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Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity

Meitz, Mika; Saikkonen, Pentti - 2012

We consider maximum likelihood estimation of a particular noninvertible ARMA model with autoregressive conditionally heteroskedastic (ARCH) errors. The model can be seen as an extension to so-called all-pass models in that it allows for autocorrelation and for more fl exible forms of conditional...

Persistent link: https://www.econbiz.de/10010500222

Efficiency of South Asian capital markets: An empirical analysis

Mishra, P. K. - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 6 (2012) 1, pp. 27-34

In recent years, especially in the aftermath of the global financial meltdown, the performance of South Asia capital markets has attracted the attention of the researchers and investors across the globe. The resilient shown provides the impetus to examine the efficient market hypothesis in these...

Persistent link: https://www.econbiz.de/10011938297

On PPP, unit roots and panels

Wagner, Martin - 2005

This paper re-assesses the panel (unit root test) evidence for PPP on four monthly data sets. We discuss and illustrate … that commonly-used first generation panel unit root tests are inappropriate for PPP analysis since they are constructed for … cross-sectionally uncorrelated panels. Given that real exchange rate panel data sets are - almost by construction - highly …

Persistent link: https://www.econbiz.de/10010293741

Spatial Stochastic Frontier Models

Lavado, Rouselle F.; Barrios, Erniel B. - 2010

with a sparse spatial autoregressive component for a cross-section data, and a spatial-temporal component for a panel data …

Persistent link: https://www.econbiz.de/10011421170

Total Factor Productivity Estimates: Some Evidence from European Regions

Ladu, Maria Gabriela - 2010

a panel cointegration approach. The main idea behind this choice is that this approach allows to directly estimate …

Persistent link: https://www.econbiz.de/10011435307

International Migration to Germany : Estimation of a Time-Series Model and Inference in Panel Cointegration.

Trübswetter, Parvati; Siliverstovs, Boriss; Brücker, … - 2003

univariate Augmented Dickey-Fuller test as well as its panel data version, developed in Im, Pesaran, and Shin (2003), to test for … null of no cointegration can be decisively rejected by applying the panel cointegration test of Pedroni (1999). The …

Persistent link: https://www.econbiz.de/10010260713

Panel Seasonal Unit Root Test With An Application for Unemployment Data

Reimers, Hans-Eggert; Dreger, Christian - 2004

In this paper the seasonal unit root test of Hylleberg et al. (1990) is generalized to cover a heterogenous panel. The … industrialized countries. In some cases seasonal unit roots are detected. However, the null hypotheses of panel seasonal unit roots …

Persistent link: https://www.econbiz.de/10010263471

Does the nominal exchange rate regime affect the long Run properties of real exchange rates?

Dreger, Christian; Girardin, Eric - 2007

Gold Standard, the interwar float, the Bretton Woods system and the managed float thereafter. Panel integration techniques …

Persistent link: https://www.econbiz.de/10010264984

International financial integration and real exchange rate long-run dynamics in emerging countries : some panel evidence

Caporale, Guglielmo Maria; Amor, Thouraya Hadj; Rault, … - 2009

The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...

Persistent link: https://www.econbiz.de/10010266058

International financial integration and real exchange rate long-run dynamics in emerging countries: some panel evidence

Caporale, Guglielmo Maria; Hadj Amor, Thouraya; Rault, … - 2009

Persistent link: https://www.econbiz.de/10010271098