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Long Memory in Stock Returns : An Analysis Using a Wavelet Based Semi-Parametric Estimator

Bhandari, Avishek - 2018

The estimation and the analysis of long memory parameters have mainly focused on the analysis of long-range dependence in stock return volatility using traditional time and spectral domain estimators of long memory. The definitive ubiquity and existence of long memory in the volatility of stock...

Persistent link: https://www.econbiz.de/10012920334

Neglected serial correlation tests in UCARIMA models

Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 121-178

We derive computationally simple and intuitive score tests of neglected serial correlation in unobserved component univariate models using frequency domain techniques. In some common situations in which the alternative model information matrix is singular under the null, we derive one-sided...

Persistent link: https://www.econbiz.de/10011458802

Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction

Li, Mengheng; Koopman, Siem Jan - 2018

We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...

Persistent link: https://www.econbiz.de/10011809984

Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation

Skoglund, Jimmy (contributor); Karlsson, Sune (contributor) - 2001 - [Elektronische Ressource]

This paper considers the large sample behavior of the maximum likelihood estimator of random effects models with serial correlation in the form of AR(1) for the idiosyncratic or time-specific error component. Consistent estimation and asymptotic normality as N and/or T grows large is established...

Persistent link: https://www.econbiz.de/10001600056

Weak Inference for Dynamic Stochastic General Equilibrium Models with Time-Varying Parameters

Huang, Naijing - 2016

This paper studies proper inference and asymptotically accurate structural break tests for parameters in Dynamic Stochastic General Equilibrium (DSGE) models in a maximum likelihood framework. Two empirically relevant issues may invalidate the conventional inference procedures and structural...

Persistent link: https://www.econbiz.de/10013005481

Skew-Normal Shocks in the Linear State Space Form DSGE Model

Grabek, Grzegorz - 2011

Observed macroeconomic data – notably GDP growth rate, inflation and interest rates – can be, and usually are skewed. Economists attempt to fit models to data by matching first and second moments or co-moments, but skewness is usually neglected. It is so probably because skewness cannot...

Persistent link: https://www.econbiz.de/10013117512

Wavelet Power : Wavelet Energy Ratio Unit Root Tests

Trokic, Mirza - 2014

This paper uses wavelet theory to propose a frequency domain nonparametric and tuning parameter free family of unit root tests indexed by the fractional parameter d. The proposed test exploits the wavelet power spectrum of the observed series and its fractional partial sum to construct a test of...

Persistent link: https://www.econbiz.de/10013065650

Dividend growth predictability and the price-dividend ratio

Piatti, Ilaria; Trojani, Fabio - 2012 - This version: October 2012

Conventional tests of present-value models over-reject the null of no predictability. In order to better account for …-dividend ratios and dividend growth. We find evidence of return predictability, but no apparent evidence of dividend growth … predictability in postwar US data, thus reconciling the diverging conclusions in the literature. Our findings are robust to the …

Persistent link: https://www.econbiz.de/10009684124

A data-driven selection of an appropriate seasonal adjustment approach

Webel, Karsten - 2016

Recent releases of X-13ARIMA-SEATS and JDemetra+ enable their users to choose between the non-parametric X-11 and the parametric ARIMA model-based approach to seasonal adjustment for any given time series without the necessity of switching between different software packages. To ease the...

Persistent link: https://www.econbiz.de/10011452778

Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series

Koopman, Siem Jan; Wong, Soon Yip - 2006

A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...

Persistent link: https://www.econbiz.de/10011350381