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Estimation of possibly non-stationary first-order auto-regressive processes
Martins, Ana Paula - 2016
This paper inspects a grid search algorithm to estimate the AR(1) process, based on the joint estimation of the canonical AR(1) equation along with its reverse form. The method relies on the GLS principle, accounting for the covariance error structure of the special estimable system....
Persistent link: https://www.econbiz.de/10011784570
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Persistence, non-linearities and structural breaks in European stock market indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019
This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no...
Persistent link: https://www.econbiz.de/10012024535
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Monitoring stationarity and cointegration : conference paper
Wagner, Martin; Wied, Dominik - 2014
cointegrating relationship to a spurious regression. The cointegration monitoring procedure is based on residuals from modified …
Persistent link: https://www.econbiz.de/10010484411
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Modelling seasonality with fractionally integrated processes
Gil-Alaña, Luis A. - 2000
We propose in this article the use of a particular version of the tests of Robinson (1994) for testing seasonally fractionally integrated processes. The tests have standard null and local limit distributions and allow us to test unit and fractional seasonal roots even with different amplitudes...
Persistent link: https://www.econbiz.de/10009582382
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Purchasing Power Parity : A Unit Root, Cointegration and VAR Analysis in Emerging and Advanced Countries
Loukopoulos, Georgios - 2014
cointegration between exchange rates and consumer price indices. The impulse response function presents a graphical view which is …
Persistent link: https://www.econbiz.de/10013044515
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Robust Inference in Models of Cointegration
Bunzel, Helle - 1998
single-equation cointegration environment that incorporates linear polynomial trend functions. The standard approach used to … conduct inference on the trend function, on the cointegration vector in a cointegration relationship, and on the parameters of …
Persistent link: https://www.econbiz.de/10014208373
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Spurious regression, cointegration, and near cointegration : a unifying approach
Haldrup, Niels; Jansson, Michael - 1999
cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …
Persistent link: https://www.econbiz.de/10011300555
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Spurious Regression, Cointegration, and Near Cointegration : A Unifying Approach
Haldrup, Niels; Jansson, Michael - 1999
on this representation, a notion of near cointegration is proposed and three separate applications of the model of near … cointegration are provided. As a first application, we give analytical corroboration of the conjecture that the finite sample … coefficient. Hence, the notion of near cointegration helps to bridge the gap between the polar cases of spurious regression and …
Persistent link: https://www.econbiz.de/10014203187
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An Introduction to Bootstrap Theory in Time Series Econometrics
Cavaliere, Giuseppe - 2020
This article provides an introduction to methods and challenges underlying application of the bootstrap in econometric modelling of economic and financial time series. Validity, or asymptotic validity, of the bootstrap is discussed as this is a key element in deciding whether the bootstrap is...
Persistent link: https://www.econbiz.de/10012835479
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Approaches for the joint evaluation of hypothesis tests: Classical testing, Bayes testing, and joint confirmation
Kunst, Robert M. - 2005
The occurrence of decision problems with changing roles of null and alternative hypotheses has increased interest in extending the classical hypothesis testing setup. Particularly, confirmation analysis has been in the focus of some recent contributions in econometrics. We emphasize that...
Persistent link: https://www.econbiz.de/10010293748