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A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains
Gospodinov, Nikolaj; Lkhagvasuren, Damba - 2013
This paper proposes a moment-matching method for approximating vector autoregressions by finite-state Markov chains. The Markov chain is constructed by targeting the conditional moments of the underlying continuous process. The proposed method is more robust to the number of discrete values and...
Persistent link: https://www.econbiz.de/10010126857
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Trend und Zyklus im Bruttoinlandsprodukt der Bundesrepublik Deutschland : eine Anmerkung
Meier, Carsten-Patrick - 2000
Diese Anmerkung zeigt, dass das reale Bruttoinlandsprodukt der Bundesrepublik Deutschland einem trendstationären Prozess folgt. Dabei werden sowohl ökonometrische Tests, bei denen die Trendstationarität die Alternativhypothese ist, eingesetzt als auch solche, bei denen sie die Nullhypothese...
Persistent link: https://www.econbiz.de/10011495591
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On the Stratonovich-Kalman-Bucy Filtering Algorithm Application for Accurate Characterization of Financial Time Series with Use of State-Space Model by Central Banks
Ledenyov, Dimitri - 2015
characterization of the Australian GDP, German GDP and the USA GDP in the frames of the state-space model in Matlab. We also used the … Hodrick-Prescott filter to estimate the corresponding output gaps in Australia, Germany and the USA. We found that the … Australia, Germany on one side and the USA on other side have the different business cycles. We believe that the central banks …
Persistent link: https://www.econbiz.de/10013024408
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Trend dominance in macroeconomic fluctuations
Shibayama, Katsuyuki - 2015
This paper investigates multivariate Beveridge-Nelson decomposition of key macro aggregate data. We find (a) inflation seems to be dominated by its trend component, and, perhaps as a result of this, the short-term interest rate is also trend dominated; and (b) consumption also seems to be...
Persistent link: https://www.econbiz.de/10011342928
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Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model
Hautsch, Nikolaus (contributor) - 2007
We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for (information driven) common factor dynamics as well as idiosyncratic effects...
Persistent link: https://www.econbiz.de/10003634717
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Implied probability kernel block bootstrap for times series moment condition models
Parente, Paulo M. D. C.; Smith, Richard J. - 2024
This article generalizes and extends the kernel block bootstrap (KBB) method of Parente and Smith (2018, 2021) to … moment conditions. KBB procedures that employ bootstrap distributions with generalised empirical likelihood implied … bootstrap distributions in the extant literature. Simulation experiments reveal that critical values arising from the empirical …
Persistent link: https://www.econbiz.de/10014520806
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Is There a Trend Break in U.S. GNP? A Macroeconomic Perspective
Kilian, Lutz - 2008
Unit root tests against trend break alternatives are based on the premise that the dating of the trend breaks coincides with major economic events with permanent effects on economic activity, such as wars and depressions. Standard economic theory, however, suggests that these events have large...
Persistent link: https://www.econbiz.de/10012770690
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Likelihood Based Testing for No Fractional Cointegration
Lasak, Katarzyna - 2008
We consider two likelihood ratio tests, so-called maximum eigenvalue and trace tests, for the null of no cointegration when fractional cointegration is allowed under the alternative, which is a first step to generalize the so-called Johansen's procedure to the fractional cointegration case. The...
Persistent link: https://www.econbiz.de/10012723169
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Economic policy uncertainty : persistence and cross-country linkages
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2020
This paper provides new evidence on the stochastic behaviour of the EPU (Economic Policy Uncertainty (EPU) index constructed by Baker et al. (2016) in six of the biggest economies (Canada, France, Japan, US, Ireland, and Sweden) over the period from January 1985 to October 2019. In particular,...
Persistent link: https://www.econbiz.de/10012219127
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Are long-run output growth rates falling?
Li, Mengheng; Mendieta-Muñoz, Ivan - 2018
This paper studies the evolution of long-run output and labour productivity growth rates in the G-7 countries during the post-war period. We estimate the growth rates consistent with a constant unemployment rate using time-varying parameter models that incorporate both stochastic volatility and...
Persistent link: https://www.econbiz.de/10011823990