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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/10008908972
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A Comparison of Conditional Volatility Estimators for the ISE National 100 Index Returns
Köksal, Bülent - 2009
We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...
Persistent link: https://www.econbiz.de/10013159436
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Simulation Based Bayesian Econometric Inference : Principles and Some Recent Computational Advances
Hoogerheide, Lennart F. - 2007
In this paper we discuss several aspects of simulation based Bayesian econometric inference. We start at an elementary … level on basic concepts of Bayesian analysis; evaluating integrals by simulation methods is a crucial ingredient in Bayesian … inference. Next, the most popular and well-known simulation techniques are discussed, the Metropolis-Hastings algorithm and …
Persistent link: https://www.econbiz.de/10012729891
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Testing for Partial Exogeneity with Weak Identification
Doko Tchatoka, Firmin - 2012
We consider the following problem. A structural equation of interest contains two sets of explanatory variables which economic theory predicts may be endogenous. The researcher is interesting in testing the exogeneity of only one of them. Standard exogeneity tests are in general unreliable from...
Persistent link: https://www.econbiz.de/10013104919
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Tests of Technical Trading Rule Profitability in Australian Financial Markets
Park, Jung-Soo - 2013
In this paper, we apply the 7,846 technical trading rules considered by Sullivan et al. (1999) to a stock index, some individual stocks, some currencies and some interest rate futures contracts traded in the Australian financial markets. Size distortions due to data-snooping are avoided by using...
Persistent link: https://www.econbiz.de/10013077240
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Two-step LM unit root tests with trend-breaks
Lee, Junsoo; Strazicich, Mark; Meng, Ming - In: Journal of statistical and econometric methods 1 (2012) 2, pp. 81-107
In this paper, we consider and examine the performance of two-step LM unit root tests with trend-breaks. In the first step, we jointly test for the existence and location of breaks using a maximum F-test. In the second step, we utilize the identified breaks and test for a unit root. A...
Persistent link: https://www.econbiz.de/10009769986
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Deterministic seasonality versus seasonal fractional integration
Gil-Alaña, Luis A. - 2000
We make use in this article of a testing procedure suggested by Robinson (1994) for testing deterministic seasonality versus seasonal fractional integration. A new test statistic is developed to simultaneously test both, the order of integration of the seasonal component and the need of seasonal...
Persistent link: https://www.econbiz.de/10009612017
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A More Powerful Panel Unit Test with an Application to PPP
Lau, Chi Keung Marco - 2009
test is examined though Monte Carlo Simulation, and was superior as compared to that of single ADF unit root test …
Persistent link: https://www.econbiz.de/10012764810
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Panel Data Unit Root Tests with an Application
Konya, Laszlo - 2001
Using several different unit root/stationarity tests on single time series Konya (2000) found the logarithm of real GDP of most OECD countries behaving as a random walk during the last four decades. This outcome, however, might be due to the generally low power of these tests. The aim of this...
Persistent link: https://www.econbiz.de/10014132219
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Testing for Exogeneity in Nonlinear Threshold Models
Kapetanios, George - 2004
Most work in the area of nonlinear econometric modelling is based on a single equation and assumes exogeneity of the explanatory variables. Recently, work by Caner and Hansen (2003) and Psaradakis, Sola, and Spagnolo (2004) has considered the possibility of estimating nonlinear models by methods...
Persistent link: https://www.econbiz.de/10014070523