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Stopping Tests in the Sequential Estimation for Multiple Structural Breaks
Urga, Giovanni; Peretti, Christian de - Econometric Society - 2004
In this paper, we propose the use of bootstrapping methods to obtain correct critical values for dating breaks. Following the procedure proposed in Banerjee, Lazarova and Urga (1998), we consider the case of estimating a system with two or more marginal processes and a conditional process....
Persistent link: https://www.econbiz.de/10005328868
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Das Halteproblem bei Strukturbrüchen in Finanzmarktzeitreihen
Czinkota, Thomas - Volkswirtschaftliche Fakultät, … - 2012
In financial time series analysis structural breaks indicate a fundamental change in market processes. Therefore, those breaks are of great interest for portfolio managers. Knowledge about a structural break could help managers in the orientation of their portfolio. The classical methods of...
Persistent link: https://www.econbiz.de/10009652947
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Financial Market Dynamics in an Enlarged European Union
Kenourgios, Dimitris; Samitas, Aristeidis - In: Journal of Economic Integration 24 (2009), pp. 197-221
This paper provides evidence of integration in European equity and bond markets over the period January 2, 1997 to October 1, 2006. Our focus is to examine time-varying correlation dynamics in Euro-area, Central European (CE) and Balkan financial markets, modifying the asymmetric generalized...
Persistent link: https://www.econbiz.de/10009415589
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Volatility of the Capital Flows and Structural Breaks in Latin America and the Caribbean
Delblanco, Fernando Andrés; Fioriti, Andrés - In: Económica LVIII (2012) January-December, pp. 23-51
This paper studies the presence of structural breaks in the capital flows of sixteen economies of Latin America using the unit test root by Zivot and Andrews (1992). It is complemented by the structural breaks test by Bai Perron (1998). Afterwards, an analysis of the likelihood of...
Persistent link: https://www.econbiz.de/10010607798
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Joint Detection of Structural Change and Nonstationarity in Autoregressions
Pitarakis, Jean-Yves - Volkswirtschaftliche Fakultät, … - 2011
In this paper we develop a test of the joint null hypothesis of parameter stability and a unit root within an ADF style autoregressive specification whose entire parameter structure is potentially subject to a structural break at an unknown time period. The maintained underlying null model is a...
Persistent link: https://www.econbiz.de/10008866111
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Real interest parity in Central and Eastern European countries: Evidence on integration into EU and the US markets
Baharumshah, Ahmad Zubaidi; Soon, Siew-Voon; Boršič, Darja - In: Journal of International Financial Markets, … 25 (2013) C, pp. 163-180
We investigate the validity of real interest parity (RIP) for the 13 Central and Eastern European countries, over the period 1996–2011. We consider a panel stationarity test that allows for multiple breaks advocated by Carrion-i-Silvestre et al. (2005) and confirmed the strong version of RIP....
Persistent link: https://www.econbiz.de/10011041496
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The Intertemporal Relationship between Money and Prices: Evidence for Argentina
Gabrielli, Florencia; McCandless, George - Econometric Society - 2004
In this paper, we study the statistical relationship between money and prices in Argentina during the last quarter of the 20th century. We first look at the unit root characteristics of the series which suggest dividing the whole sample into two sub-samples: 1976 to 1989 and 1991 to 2001, as...
Persistent link: https://www.econbiz.de/10005328862
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An inflation expectations horserace
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2010
For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey … models of forecasting inflation, the data are low frequency measures which appear anachronistic in the modern era of high … frequency and real-time data. I present a collection of 37 different measures of inflation expectations, including many …
Persistent link: https://www.econbiz.de/10009647457
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The negative effects of international crisis on the real economy and social issues
Balu, Elena Mariana; Mladen, Luise - Facultatea de Finante şi Banci, Universitatea Spiru Haret - 2009
unemployment with increased inflation if we reverse the connection between unemployment and inflation fear employees against the …
Persistent link: https://www.econbiz.de/10004995315
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ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the "New Phillips Curve")
JONDEAU, Eric; BIHAN, Hervé LE - EconWPA - 2003
Many macroeconomic models (including the NKPC - "New Keynesian" Phillips Curve) involve hybrid equations, in which some variables depend on both their lags and leads. Hybrid models have produced conflicting empirical results: GMM (respectively ML) estimation find the forward- looking component...
Persistent link: https://www.econbiz.de/10005062538