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Forecasting nonlinear aggregates and aggregates with time-varying weights
Lütkepohl, Helmut - 2010
Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic aggregates are time-varying, much of the literature on forecasting aggregates considers the case of linear aggregates with fixed, time-invariant aggregation weights. In this study a...
Persistent link: https://www.econbiz.de/10003966437
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Adaptive rate-optimal detection of small autocorrelation coefficient
Guay, Alain; Guerre, Emmanuel; Lazarová, Štepána - 2009
A new test is proposed for the null of absence of serial correlation. The test uses a data-driven smoothing parameter. The resulting test statistic has a standard limit distribution under the null. The smoothing parameter is calibrated to achieve rate-optimality against several classes of...
Persistent link: https://www.econbiz.de/10003850599
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Predicting bid-ask spreads using long memory autoregressive conditional poisson models
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2011 - This version: July 2011
that the LMACP nicely captures salient features of bid-ask spreads like the strong autocorrelation and discreteness of …
Persistent link: https://www.econbiz.de/10009229669
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Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014
We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...
Persistent link: https://www.econbiz.de/10010391531
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Dynamic vs Static Autoregressive Models for Forecasting Time Series
Xie, Chris S. - 2008
I build an innovative Dynamic Autoregressive Model (DAR) in forecasting time series, and make comparison with a Static Autoregressive Model (SAR). DAR model requires re-evaluating optimal orders and coefficients at each period, while SAR models simply treats them as constants. The optimal length...
Persistent link: https://www.econbiz.de/10012723135
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Dynamic mixture vector autoregressions with score-driven weights
Gretener, Alexander Georges; Neuenkirch, Matthias; … - 2022
We propose a novel dynamic mixture vector autoregressive (VAR) model in which timevarying mixture weights are driven by the predictive likelihood score. Intuitively, the state weight of the k-th component VAR model in the subsequent period is increased if the current observation is more likely...
Persistent link: https://www.econbiz.de/10012819242
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Testing for cointegration with threshold adjustment in the presence of structural breaks
Schweikert, Karsten - 2018
In this paper, we develop new threshold cointegration tests with SETAR and MTAR adjustment allowing for the presence of structural breaks in the equilibrium equation. We propose a simple procedure to simultaneously estimate the previously unknown breakpoint and test the null hypothesis of no...
Persistent link: https://www.econbiz.de/10011842010
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Autocorrelate Your Assets or, It's Not All White Noise : A Practical Means for Generating Autocorrelated Time Series Data in Monte Carlo Simulations
Stock, Robert D. - 2020
compromises the quality of the prediction from the data. Simulations that do not take account of autocorrelation will not properly … model reality, as there is significant autocorrelation in many asset returns, for example in T-Bills and hedge fund … satisfy the statistics of any serial autocorrelation, as well as the actual (possibly non-Gaussian) joint probability …
Persistent link: https://www.econbiz.de/10012846361
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Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2011
that the LMACP nicely captures salient features of bid-ask spreads like the strong autocorrelation and discreteness of …
Persistent link: https://www.econbiz.de/10014180186
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Joint Detection of Structural Change and Nonstationarity in Autoregressions
Pitarakis, Jean-Yves - 2011
In this paper we develop a test of the joint null hypothesis of parameter stability and a unit root within an ADF style autoregressive specification whose entire parameter structure is potentially subject to a structural break at an unknown time period. The maintained underlying null model is a...
Persistent link: https://www.econbiz.de/10014185521