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Level shifts and long memory : a state space approach

Delle Monache, Davide; Grassi, Stefano; Santucci de … - 2015

Short memory models contaminated by level shifts have similar long-memory features as fractionally integrated processes. This makes it hard to verify whether the true data generating process is a pure fractionally integrated process when employing standard estimation methods based on the...

Persistent link: https://www.econbiz.de/10011287069

A Review of the Econometric Analysis of I(2) Variables

Haldrup, Niels - 1998

This paper provides a survey of the recent literature dealing with I(2) variables in economic time series, that is, processes that require to be differenced twice in order to become stationary. With reference to particular models intuition is provided of why I(2) and polynomial cointegration are...

Persistent link: https://www.econbiz.de/10014112218

Unit Roots in Life and Research

Phillips, Peter C. B. - 2017

Prominent among the many contributions that economics has made to humanity are the ones we witness daily in the normal operations of our national economies and our Financial systems. Less prominent is the work in econometrics that is largely done in universities developing theories and...

Persistent link: https://www.econbiz.de/10012952406

A Simple Unit Root Test For Near-I(2) Time Series

Morin, Lealand - 2020

We consider the problem of testing for unit root in time series where the error term of the series is near unit root. As the error term approaches unit root, existing tests no longer retain reasonable small sample properties. We introduce a test statistic that is well-behaved in small sample...

Persistent link: https://www.econbiz.de/10012847666

Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order : Critical Comments

Luitel, Hari; Mahar, Gerry - 2022

In this research note, we accomplish two objectives. First, we reexamine the reliability of unit root findings in the study by Said and Dickey (1984) and show that their results are internally consistent. Second, we provide new results from the reanalysis of the original data that were not...

Persistent link: https://www.econbiz.de/10013309626

Quantiles for T-Statistics Based on M-Estimators of Unit Roots

Abadir, Karim Maher; Lucas, André - 1997

We derive formulae for the asymptotic density and distribution functions of the t-statistic for autoregressive unit roots based on M-estimators. The distribution depends upon a nuisance parameter. Consequently, new critical values for this test have to be generated for each new estimator that is...

Persistent link: https://www.econbiz.de/10014089476

Dynamics of real per capita GDP

Neuhoff, Daniel - 2015 - This Version: August 7, 2015

persistence estimates and the appropriate ARMA models. The results for the UK is sensitive to the time period. An analysis of the …

Persistent link: https://www.econbiz.de/10011309627

Understanding temporal aggregation effects on kurtosis in financial indices

Lieberman, Offer; Phillips, Peter C. B. - 2018

Indices of ﬁnancial returns typically display sample kurtosis that declines towards the Gaussian value 3 as the …. Limit theory for the sample kurtosis reveals that STUR speciﬁcations provide two sources of excess kurtosis, both of which … decline with the sampling interval. Limiting kurtosis is shown to be random and is a functional of the limiting price process …

Persistent link: https://www.econbiz.de/10011948760

Understanding temporal aggregation effects on kurtosis in financial indices

Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 227 (2022) 1, pp. 25-46

Persistent link: https://www.econbiz.de/10013441621

Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis

Leybourne, Stephen James; Newbold, Paul - In: The econometrics journal 3 (2000) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10001532194