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A multivariate STAR analysis of the relationship between money and output
Rothman, P.; Dijk, D.J.C. van; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 1999
-of-sample forecasting exercise to study money-income Granger causality, both linear and nonlinear, we believe is new to the literature. The … forecasting results do not suggest that money is nonlinearly Granger causal for output. In fact, they show that by allowing money … to nonlinearly Granger cause output, the forecasting performance of the STVECM is significantly worsened. …
Persistent link: https://www.econbiz.de/10008584690
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Modeling the impact of forecast-based regime switches on macroeconomic time series
Paap, Richard; Bel, Bel, K. - Faculteit der Economische Wetenschappen, Erasmus … - 2013
Forecasts of key macroeconomic variables may lead to policy changes of governments, central banks and other economic agents. Policy changes in turn lead to structural changes in macroeconomic time series models. To describe this phenomenon we introduce a logistic smooth transition autoregressive...
Persistent link: https://www.econbiz.de/10010837733
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On Mean Reversion in Real Interest Rates: An Application of Threshold Cointegtation
Jumah, Adusei; Kunst, Robert M. - Department of Economics and Finance Research and … - 2002
Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in real rates and hence confirms the Fisher hypothesis....
Persistent link: https://www.econbiz.de/10005704200
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Forecasting with artificial neural network models
Rech, Gianluigi - Economics Institute for Research (SIR), … - 2002
This paper contains a forecasting exercise on 30 time series, ranging on several fields, from economy to ecology. The …
Persistent link: https://www.econbiz.de/10005190861
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An Alternative Bayesian Approach to Structural Breaks in Time Series Models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick J.C. van - Tinbergen Institute - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10008838634
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Functional-coefficient regression models for nonlinear time series
Cai, Zongwu; Fan, Jianqing; Yao, Qiwei - London School of Economics (LSE) - 2000
forecasting performance. Also proposed are a new bootstrap test for the goodness of fit of models and a bandwidth selector based … on newly defined cross-validatory estimation for the expected forecasting errors. The proposed methodology is data …
Persistent link: https://www.econbiz.de/10011126715
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An Alternative Bayesian Approach to Structural Breaks in Time Series Models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick J.C. van - Tinbergen Instituut - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10011257521
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Biofuels and Food Prices: Searching for the Causal Link
Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - Istituto di Economia e Politica dell'Energia e … - 2013
We analyze the relationship between the prices of ethanol, agricultural commodities and livestock in Nebraska, the U.S. second largest ethanol producer. The paper focuses on long-run relations and Granger causality linkages between ethanol and the other commodities. The analysis takes possible...
Persistent link: https://www.econbiz.de/10010940837
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Consolidation first - About twin deficits and the causal relation between fiscal budget and current account imbalances
Hartmann, Matthias; Herwartz, Helmut - In: Economics Bulletin 32 (2012) 4, pp. 3313-3319
During recent years, large trade- and budget deficits have accumulated especially in advanced economies. This study examines if this coincidence actually reflects a causal relation. Economic theory and previously documented findings on causality between trade and government balances are...
Persistent link: https://www.econbiz.de/10011278568
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Czech Koruna and Polish Zloty Currency Options; Information Contnent and Eu-Accession Implications
Morales, Armando Méndez - International Monetary Fund (IMF) - 2000
Currency option implied volatility predicts more efficiently exchange rate volatility for the Polish zloty relative to the Czech koruna, reflecting differences in the frequency of central bank intervention in the foreign exchange market. A GARCH model shows a positive impact of the introduction...
Persistent link: https://www.econbiz.de/10005248136