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Financial Market Integration and World Economic Stabilization toward Purchasing Power Parity
Okimoto, Tatsuyoshi; Shimotsu, Katsumi - 2007
Purchasing power parity (PPP) is one of the most important, but empirically controversial theories in international … macroeconomics. Although many researchers believe that some variant of PPP holds in the long run, there are diverse empirical results … regarding the PPP hypothesis. We examine the PPP hypothesis from an alternate point of view: We investigate the possibility of …
Persistent link: https://www.econbiz.de/10011940752
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A note on the volatilities of the interest rate and the exchange rate under different monetary policy instruments : Mexico 1998 - 2008
Benavides, Guillermo; Capistrán Carmona, Carlos - 2009
multiple structural changes, we document that both volatilities decreased around the time Banco de México started the …
Persistent link: https://www.econbiz.de/10003893830
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A Note on the Volatilities of the Interest Rate and the Exchange Rate Under Different Monetary Policy Instruments : Mexico 1998-2008
Benavides, Guillermo - 2010
multiple structural changes, we document that both volatilities decreased around the time Banco de Mexico started the …
Persistent link: https://www.econbiz.de/10013144183
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Currency substitution and exchange rate volatility in Nigeria : an autoregressive distributed lag approach
Ajibola, Isaiah O.; Udoette, Sylvanus U.; Muhammad, Rabia A. - In: CBN journal of applied statistics 11 (2020) 2, pp. 1-28
This study investigates the relationship between exchange rate volatility and cur-rency substitution in Nigeria, using Autoregressive Distributed Lag (ARDL) model.After accounting for the presence of structural breaks, evidence from the findingsshows that domestic interest rate and expected...
Persistent link: https://www.econbiz.de/10012513264
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Unit root testing
Wolters, Jürgen; Hassler, Uwe - 2005
The occurrence of unit roots in economic time series has far reaching consequences for univariate as well as multivariate econometric modelling. Therefore, unit root tests are nowadays the starting point of most empirical time series studies. The oldest and most widely used test is due to Dickey...
Persistent link: https://www.econbiz.de/10010299087
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Seasonal Unit Root Tests under Structural Breaks
Hassler, Uwe; Rodrigues, Paulo M. M. - 2002
In this paper, several seasonal unit root tests are analysed in the context of structural breaks at known time and a new break corrected test is suggested. We show that the widely used HEGY test as well as an LM variant thereof are asymptotically robust to seasonal mean shifts of finite...
Persistent link: https://www.econbiz.de/10010323702
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An Alternative Bayesian Approach to Structural Breaks in Time Series Models
van den Hauwe, Sjoerd; Paap, Richard; van Dijk, Dick J.C. - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10010325904
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A Nonlinear Unit Root Test in the Presence of an Unknown Break
Popp, Stephan - 2008
The Perron test is the most commonly applied procedure to test for a unit root in the presence of a structural break of unknown timing in the trend function. Deriving the Perron-type test regression from an unobserved component model, it is shown that the test regression in fact is nonlinear in...
Persistent link: https://www.econbiz.de/10010264716
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Forecasting random walks under drift instability
Pesaran, Mohammad Hashem; Pick, Andreas - 2008
This paper considers forecast averaging when the same model is used but estimation is carried out over different estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or more structural breaks. It is shown that compared to...
Persistent link: https://www.econbiz.de/10010276222
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Trend Extraction From Time Series With Structural Breaks and Missing Observations
Schlicht, Ekkehart - 2008
Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. Practical problems arise, however, if the time series contains structural breaks (as produced by German unification for German time series, for instance),...
Persistent link: https://www.econbiz.de/10010427520