Showing 1 - 10 of 1,017
sample size or magnitude of a break is small. An application to postwar U.S. real gross domestic product and consumption … literature. Furthermore, when taking co-integration between output and consumption into account, confidence sets for structural …
Persistent link: https://www.econbiz.de/10011757721
magnitude of breaks is small. An application to postwar U.S. real GDP and consumption leads to a much tighter 95% confidence set … between output and consumption into account, confidence sets for structural break dates are even more precise and suggest a …
Persistent link: https://www.econbiz.de/10013082120
We propose a monitoring procedure to detect a structural change from stationary to integrated behavior. When the procedure is applied to the errors of a relationship between integrated series it thus monitors a structural change from a cointegrating relationship to a spurious regression. The...
Persistent link: https://www.econbiz.de/10010484411
In this paper, we test cointegration between GDP and Public consumption of the Republic of North Macedonia, for … cointegration test results confirms that GDP and Public consumption of the Republic of North Macedonia are not cointegrated and can …
Persistent link: https://www.econbiz.de/10013489691
the CBE variates exhibit stationarity, Best Linear unbiased estimators of the slope and intercept were derived. Numerical …
Persistent link: https://www.econbiz.de/10011477643
Time series is a collection of observations made at regular time intervals and its analysis refers to problems in correlations among successive observations. Time series analysis is applied in all areas of statistics but some of the most important include macroeconomic and financial time series....
Persistent link: https://www.econbiz.de/10012178433
studying Ghanaian tomato markets which are characterized by pronounced seasonality in production and trade flows. We analyse … the most important consumption centre for tomatoes (Accra). We find strong evidence for integration of the five markets …
Persistent link: https://www.econbiz.de/10010342911
consumption and real GDP. In line with BNW, we find that confidence shocks explain a large share of the variance in real economic …
Persistent link: https://www.econbiz.de/10010354540
This paper examines the distributions of (zero frequency) unit root test statistics for I(1) processes in the presence of noninvertible moving average components. The analysis initially considers a noninvertible MA(1), for which the asymptotic distribution of the ADF test statistic under the...
Persistent link: https://www.econbiz.de/10015315610
This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997), originally proposed by Leser (1961). It builds on an approach to seasonal adjustment suggested by Leser (1963) and Schlicht (1981, 1984). A moments estimator for the smoothing parameter is proposed...
Persistent link: https://www.econbiz.de/10010440442