In this paper I propose a novel optimal linear filter for smoothing, trend and signal extraction for time series with a unit root. The filter is based on the Singular Spectrum Analysis (SSA) methodology, takes the form of a particular moving average and is different from other linear filters...

Evidence in favor of the monetary model of exchange rate determination for the South African Rand is, at best, mixed. A co-integrating relationship between the nominal exchange rate and monetary fundamentals forms the basis of the monetary model. With the econometric literature suggesting that...

This paper presents a generalized autoregressive distributed lag (GADL) model for conducting regression estimations that involve mixed-frequency data. As an example, we show that daily asset market information - currency and equity market movements - can produce forecasts of quarterly commodity...

Financial time series analysis has focused on data related to market trading activity. Next to the modeling of the conditional variance of returns within the GARCH family of models, recent attention has been devoted to other variables: First, and foremost, volatility measured on the basis of...

We show that extending the estimation window prior to structural breaks in cointegrated systems can be beneficial for forecasting performance and highlight under which conditions. In doing so, we generalize the Pesaran & Timmermann (2005)’s forecast error decomposition and show that it depends...

The main objective of this study was to find out the impact of Chinese FDI on the economic growth of Bangladesh where yearly time series data is used over a period from 1997 to 2020. To obtain those objectives, this study implies the Johansen Co-integration test and vector error correction model...

The purpose of the study is to put forward the long-term and causality relationship between the BIST Industrial Index and the Purchasing Managers Index (PMI) for the period January 2008-December 2018 in Turkey. First of all,the existence of a long-run relationship between variables has been...

With the aid of econometric modeling, I investigate whether rapidly increasing house prices necessarily imply the existence of a bubble that will eventually burst. I consider four alternative econometric methods to construct indicators of housing market imbalances for the US, Finland and Norway....

This paper consists of two parts. In the first part the sensitivity of PPP testing to the nature of the unit root tests is demonstrated. Three unit root tests are employed for fourteen real bilateral exchange rates. The first two, the augmented Dickey-Fuller test and the Phillips-Perron test are...

In this chapter, the necessary condition and the necessary and sufficient condition for purchasing power parity (PPP) are sequentially tested for fourteen bilateral exchange rates. This test is undertaken in the framework of subset vector error correction modelling (VECM) with zero coefficients....