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A nonparametric test for seasonal unit roots
Kunst, Robert M. - 2009
We consider a nonparametric test for the null of seasonal unit roots in quarterly time series that builds on the RUR (records unit root) test by Aparicio, Escribano, and Sipols. We find that the test concept is more promising than a formalization of visual aids such as plots by quarter. In order...
Persistent link: https://www.econbiz.de/10010294023
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Asymmetric time aggregation and its potential benefits for forecasting annual data
Kunst, Robert M.; Franses, Philip Hans - 2010
For many economic time-series variables that are observed regularly and frequently, for example weekly, the underlying activity is not distributed uniformly across the year. For the aim of predicting annual data, one may consider temporal aggregation into larger subannual units based on an...
Persistent link: https://www.econbiz.de/10010294045
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Weather forecasting for weather derivatives
Campbell, Sean D.; Diebold, Francis X. - 2004
We take a simple time-series approach to modeling and forecasting daily average temperature in U.S. cities, and we inquire systematically as to whether it may prove useful from the vantage point of participants in the weather derivatives market. The answer is, perhaps surprisingly, yes....
Persistent link: https://www.econbiz.de/10010298284
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Seasonality in house prices
Kajuth, Florian; Schmidt, Tobias - 2011
document seasonality in house prices for the US and the UK using formal statistical tests and illustrate its quantitative … shocks in non-durables in order to characterise seasonality in house prices as an equilibrium outcome. We provide empirical … evidence for seasonality in house prices with our small model using US and UK data. …
Persistent link: https://www.econbiz.de/10010304653
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Does seasonal vulnerability to poverty matter? A case study from the Hadejia-Nguru Wetlands in Nigeria
Chiwaula, Levison; Waibel, Hermann - 2011
Applying research on vulnerability to seasonal data, we assess seasonal vulnerability to poverty using panel data from the Hadejia-Nguru Wetlands in Nigeria involving 260. We find that both observed poverty and vulnerability to poverty vary seasonally and that these variations are related to...
Persistent link: https://www.econbiz.de/10010305586
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Model Selection, Forecasting and Monthly Seasonality of Hotel Nights in Denmark
Sørensen, Nils Karl - 2004
, and divided into 11 nationalities. Special attention is given to the role of seasonality. Three univariate seasonal … on tourism. With regard to the single variable models it is found that seasonality in general is of stochastic nature … econometric modelling Key words: Tourism, seasonality, fore casting, climatic variables. JEL Classification: C32. …
Persistent link: https://www.econbiz.de/10011318759
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The significance of the shoulder season of hotel nights: Evidence from Denmark in a nordic perspective
Sorensen, Nils Karl - 2010
During the past decades, the role of the shoulder season has gained increasing attention. It is obvious that an expansion of the length of the high season with the shoulder season will have a positive effect on labor demand and income in a given region. The purpose of this paper is to address...
Persistent link: https://www.econbiz.de/10011332325
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Aplicação do modelo fatorial dinâmico para previsão da receita tributária no Brasil
Mendonça, Mário Jorge; Medrano, Luis Alberto - 2015
. This procedure permits to obtain better data fitting and more reliable predictions - once seasonality is a hallmark of …
Persistent link: https://www.econbiz.de/10011372319
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Maybe Next Month? Temperature Shocks, Climate Change, and Dynamic Adjustments in Birth Rates
Barreca, Alan I.; Deschenes, Olivier; Guldi, Melanie - 2015
Dynamic adjustments could be a useful strategy for mitigating the costs of acute environmental shocks when timing is not a strictly binding constraint. To investigate whether such adjustments could apply to fertility, we estimate the effects of temperature shocks on birth rates in the United...
Persistent link: https://www.econbiz.de/10011401767
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Is there a Friday the 13th Effect in Emerging Asian Stock Markets?
Auer, Benjamin R.; Rottmann, Horst - 2013
In this article, we revisit the Friday the 13th effect discussed by Kolb and Rodriguez (1987) that has received increased interest in recent research. Using a dummy-augmented GARCH model, we investigate whether the occurrence of this superstitious calendar day has significant impact on the...
Persistent link: https://www.econbiz.de/10010323003