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Spurious periodicities in cliometric series : simultaneous testing
Kufenko, Vadim - 2016
In this paper we revisit the methodological aspects of the issue of spurious cycles: using the well-established clinometric data, we apply an empirical strategy to identify spurious periodicities and cross-validate the results. The analysis of cyclical fluctuations involves numerous challenges,...
Persistent link: https://www.econbiz.de/10011437990
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An ARDL Approach on Crude Oil Price and Macroeconomic Variables
Phoong, Seuk Wai - 2019
Objective - The removal of fuel subsidies by the Malaysian government in 2014 has been implement with the managed float system for fuel prices.Methodology/Technique - This study investigates the impact of the managed floating system of crude oil prices on the Malaysian economy using ARDL...
Persistent link: https://www.econbiz.de/10012889606
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How Hard is the Euro Area Core? An Evaluation of Growth Cycles Using Wavelet Analysis
Mayes, David G.; Crowley, Patrick M.; Maraun, Douglas - 2007
Using recent advances in time-varying spectral methods, this research analyses the growth cycles of the core of the euro area in terms of frequency content and phasing of cycles. The methodology uses the continuous wavelet transform (CWT) and also Hilbert wavelet pairs in the setting of a...
Persistent link: https://www.econbiz.de/10014223612
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The trend and cycle components of China's housing prices : a new decomposition method
Tan, Zhengxun; Liu, Juan; Chen, Peng - In: Applied economics 53 (2021) 28, pp. 3288-3305
Persistent link: https://www.econbiz.de/10012517088
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Date-stamping US housing market explosivity
Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2017
In this paper, the authors set out to date-stamp periods of US housing price explosivity for the period 1830-2013. They make use of several robust techniques that allow them to identify such periods by determining when prices start to exhibit explosivity with respect to its past behaviour and...
Persistent link: https://www.econbiz.de/10011674010
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Limit theory for mildly integrated process with intercept
Fei, Yijie - In: Economics letters 163 (2018), pp. 98-101
Persistent link: https://www.econbiz.de/10011982962
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Date-stamping US housing market explosivity
Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2018
In this paper the authors set out to date-stamp periods of US housing price explosivity for the period 1830–2013. They make use of several robust techniques that allow them to identify such periods by determining when prices start to exhibit explosivity with respect to its past behaviour and...
Persistent link: https://www.econbiz.de/10011812671
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Do 18th century "bubbles" survive the scrutiny of 21st century time series econometrics?
Hu, Yang; Oxley, Les - In: Economics letters 162 (2018), pp. 131-134
Persistent link: https://www.econbiz.de/10011939819
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Asymmetric adjustment, non-linearity and housing price bubbles : New international evidence
Xie, Zixiong; Chen, Shyh-Wei; Wu, An-Chi - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-33
Persistent link: https://www.econbiz.de/10012203800
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Testing for single bubble episode in the Nigerian stock market : an empirical investigation
Iliyasu, Jamilu; Saba, Ndayezhin D. - In: CBN journal of applied statistics 10 (2019) 1, pp. 29-49
This study evaluates a single bubble episode in the Nigerian Stock Exchange (NSE) by utilizing monthly data on nominal …-Fuller (SADF) test for bubble detection suggests non-existence of a bubble in the NSE between 2010 and 2017. Though there is an … line. However, it is not a bubble but a short deviation from trend. The study also estimates a time-varying long memory …
Persistent link: https://www.econbiz.de/10012178349