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Nonparametric regression and the detection of turning points in the Ifo business climate
Abberger, Klaus - 2004
Business climate indicators are used to receive early signals for turning points in the general business cycle. Therefore methods for the detection of turning points in time series are required. Estimations of slopes of a smooth component in the data can be calculated with local polynomial...
Persistent link: https://www.econbiz.de/10011450892
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Nonparametric regression and the detection of turning points in the Ifo business climate
Abberger, Klaus - 2004
Business climate indicators are used to receive early signals for turning points in the general business cycle. Therefore methods for the detection of turning points in time series are required. Estimations of slopes of a smooth component in the data can be calculated with local polynomial...
Persistent link: https://www.econbiz.de/10010261265
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Nonparametric HAC Estimation for Time Series Data with Missing Observations
Datta, Deepa - 2012
The Newey and West (1987) estimator has become the standard way to estimate a heteroskedasticity and autocorrelation consistent (HAC) covariance matrix, but it does not immediately apply to time series with missing observations. We demonstrate that the intuitive approach to estimate the true...
Persistent link: https://www.econbiz.de/10013097469
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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/10010289015
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On the persistence of UK inflation : a long-range dependence approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018
This paper examines the degree of persistence in UK inflation by applying long-memory methods to historical data that … detect any shifts in the degree of persistence, and also run rolling-window and recursive regressions to investigate its … evolution over time. On the whole, the evidence suggests that the degree of persistence of UK inflation has been relatively …
Persistent link: https://www.econbiz.de/10011815117
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On the persistence of UK inflation : a long-range dependence approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018
This paper examines the degree of persistence in UK inflation by applying long-memory methods to historical data that … detect any shifts in the degree of persistence, and also run rolling-window and recursive regressions to investigate its … evolution over time. On the whole, the evidence suggests that the degree of persistence of UK inflation has been relatively …
Persistent link: https://www.econbiz.de/10011819378
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On the (nonlinear) relationship between exchange rate uncertainty and trade: An investigation of US trade figures in the Group of Seven
Herwartz, Helmut - 2003
In this paper bilateral models formalizing monthly growth of US imports and exports are employed to investigate the potential of nonlinear relationships linking exchange rate uncertainty and trade growth. Parametric linear and nonlinear as well as semiparametric time series models are evaluated...
Persistent link: https://www.econbiz.de/10010296439
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Measuring conditional persistence in time series
Kapetanios, George - 2002
The persistence properties of economic time series has been a primary object of investigation in a variety of guises … since the early days of econometrics. This paper suggests investigating the persistence of processes conditioning on their … its lags maybe a useful indicator of the variation in persistence with respect to its past history. We discuss in detail …
Persistent link: https://www.econbiz.de/10010284095
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Long memory and structural changes in the forward discount : an empirical investigation
Choi, Kyongwook; Zivot, Eric - 2003
persistence of the forward discount. However, after removing the breaks, we still find evidence of stationary long memory in all …
Persistent link: https://www.econbiz.de/10011512994
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Semiparametric Forecast Intervals
Wu, Jason - 2011
Consider forecasting the economic variable Y_{t h} with predictors X_{t}, where h is the forecast horizon. This paper introduces a semiparametric method that generates forecast intervals of Y_{t h}|X_{t} from point forecast models. First, the point forecast model is estimated, thereby taking...
Persistent link: https://www.econbiz.de/10012756248