Narrow search
Showing 1 - 10 of 3,734
Cover Image
Nonparametric regression and the detection of turning points in the Ifo business climate
Abberger, Klaus - 2004
Business climate indicators are used to receive early signals for turning points in the general business cycle. Therefore methods for the detection of turning points in time series are required. Estimations of slopes of a smooth component in the data can be calculated with local polynomial...
Persistent link: https://www.econbiz.de/10011450892
Cover Image
Nonparametric regression and the detection of turning points in the Ifo business climate
Abberger, Klaus - 2004
Business climate indicators are used to receive early signals for turning points in the general business cycle. Therefore methods for the detection of turning points in time series are required. Estimations of slopes of a smooth component in the data can be calculated with local polynomial...
Persistent link: https://www.econbiz.de/10010261265
Cover Image
Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates
Lee, Hwa-Taek; Yoon, Gawon - 2007
that the persistence of real exchange rates changes over time. When at least one of multiple regimes is stationary, PPP …
Persistent link: https://www.econbiz.de/10010296288
Cover Image
The dynamics of real exchange rates: A reconsideration
Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011
While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving the process is largely build upon a priori economic belief rather than a thorough statistical modeling procedure. The two prevailing time series models, i.e. the exponential...
Persistent link: https://www.econbiz.de/10010289015
Cover Image
Real exchange rates and economic fundamentals : an investigation based on a Markov-STAR model
Bertram, Philip; Ma, Jun; Sibbertsen, Philipp - 2015
In this paper we introduce a new nonlinear Markov-STAR model to capture both the markov switching and smooth transition dynamics for real exchange rates. The Markov switching part captures the effect of time variations of the equilibrium exchange rates, while the smooth transition part models...
Persistent link: https://www.econbiz.de/10011429933
Cover Image
On the persistence of UK inflation : a long-range dependence approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018
This paper examines the degree of persistence in UK inflation by applying long-memory methods to historical data that … detect any shifts in the degree of persistence, and also run rolling-window and recursive regressions to investigate its … evolution over time. On the whole, the evidence suggests that the degree of persistence of UK inflation has been relatively …
Persistent link: https://www.econbiz.de/10011815117
Cover Image
On the persistence of UK inflation : a long-range dependence approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018
This paper examines the degree of persistence in UK inflation by applying long-memory methods to historical data that … detect any shifts in the degree of persistence, and also run rolling-window and recursive regressions to investigate its … evolution over time. On the whole, the evidence suggests that the degree of persistence of UK inflation has been relatively …
Persistent link: https://www.econbiz.de/10011819378
Cover Image
On the (nonlinear) relationship between exchange rate uncertainty and trade: An investigation of US trade figures in the Group of Seven
Herwartz, Helmut - 2003
In this paper bilateral models formalizing monthly growth of US imports and exports are employed to investigate the potential of nonlinear relationships linking exchange rate uncertainty and trade growth. Parametric linear and nonlinear as well as semiparametric time series models are evaluated...
Persistent link: https://www.econbiz.de/10010296439
Cover Image
On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations
Rossen, Anja - 2014
Although many macroeconomic time series are assumed to follow nonlinear processes, nonlinear models often do not provide better predictions than their linear counterparts. Furthermore, such models easily become very complex and difficult to estimate. The aim of this study is to investigate...
Persistent link: https://www.econbiz.de/10010434848
Cover Image
Homogenous vs. heterogenous transition functions in smooth transition regressions : a LM-type test
Demetrescu, Matei; Leppin, Julian Sebastian; Reitz, Stefan - 2017
(Panel) Smooth Transition Regressions substantially gained in popularity due to their flexibility in modeling regression coefficients as homogeneous or heterogeneous functions of transition variables. In the estimation process, however, researchers typically face a trade-off in the sense that a...
Persistent link: https://www.econbiz.de/10011749886