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Testing stationarity with unobserved-components models
Morley, James C.; Panovska, Irina B.; Sinclair, Tara M. - In: Macroeconomic dynamics 21 (2017) 1, pp. 160-182
Persistent link: https://www.econbiz.de/10011686122
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Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction
Li, Mengheng; Koopman, Siem Jan - 2018
We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...
Persistent link: https://www.econbiz.de/10011809984
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Testing for breaks in cointegrated panels with common and idiosyncratic stochastic trends
Kao, Chihwa; Trapani, Lorenzo; Urga, Giovanni - 2011
Persistent link: https://www.econbiz.de/10009381370
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Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...
Persistent link: https://www.econbiz.de/10011373822
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Time series models with a common stochastic variance for analysing economic time series
Koopman, Siem Jan; Bos, Charles S. - 2002
The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part...
Persistent link: https://www.econbiz.de/10011327834
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Continuous-time perpetuities and time reversal of diffusions
Kardaras, Constantinos; Robertson, Scott - In: Finance and stochastics 21 (2017) 1, pp. 65-110
Persistent link: https://www.econbiz.de/10011944065
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Testing for Breaks in Cointegrated Panels with Common and Idiosyncratic Stochastic Trends
Kao, Chihwa - 2011
In this paper, we develop tests for structural change in cointegrated panel regressions with common and idiosyncratic trends. We consider both the cases of observable and nonobservable common trends, deriving a Functional Central Limit Theorem for the partial sample estimators under the null of...
Persistent link: https://www.econbiz.de/10013127390
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The overall seasonal integration tests under non-stationary alternatives : a methodological note
El Montasser, Ghassen - 2011
, Ghysels, lee and Noh (1994) conducted a simulation study by considering the alternative of a non-seasonal random walk to … developing the limit theory of statistics of Dickey and Fuller Hasza [DHF] (1984) when the data are generated by a non … asymptotic theory of the statistics subsumed in the HEGY procedure. In this paper, I show that establishing the limit theory of F …
Persistent link: https://www.econbiz.de/10011524855
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Heteroscedasticity in non-stationary time series : some Monte Carlo evidence
Haldrup, Niels - 1992
Persistent link: https://www.econbiz.de/10000842147
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Classical and Bayesian analysis of unvariate and multivariate stochastic volatility models
Liesenfeld, Roman; Richard, Jean-François - In: Econometric reviews 25 (2006) 2/3, pp. 335-360
Persistent link: https://www.econbiz.de/10003355771