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On Gagnon's criticism of ARMA models for real GNP growth
Hauser, Michael A. - In: Economic notes : economic review of Banca Monte dei … 23 (1994) 1, pp. 125-129
Persistent link: https://www.econbiz.de/10001165660
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Modeling exchange rates : long-run dependence versus conditional heteroscedasticity
Hauser, Michael A. - 1992
Persistent link: https://www.econbiz.de/10000874142
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Modelling exchange rates : long-run dependence versus conditional heteroscedasticity
Hauser, Michael A. - In: Applied financial economics 4 (1994) 3, pp. 233-239
Persistent link: https://www.econbiz.de/10001164930
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Measuring Persistence in Aggregate Output : Arma Models, Fractionally Integrated Arma Models and Nonparametric Procedures
Hauser, Michael A.; Poetscher, Benedikt M.; … - 1999
Econometric issues in the estimation of persistence in macroeconomic time series are considered. In particular, the relative merits of estimates based on ARMA models, ARFIMA models and nonparametric procedures are investigated. It is shown that ARFIMA models are inappropriate for the purpose of...
Persistent link: https://www.econbiz.de/10014193102
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Measuring persistence in aggregate output: ARMA models, fractionally integrated ARMA models and nonparametric procedures
Reschenhofer, Erhard; Pötscher, Benedikt M.; Hauser, … - In: Empirical Economics 24 (1999) 2, pp. 243-269
Econometric issues in the estimation of persistence in macroeconomic time series are considered. In particular, the relative merits of estimates based on ARMA models, ARFIMA models and nonparametric procedures are investigated. It is shown that ARFIMA models are inappropriate for the purpose of...
Persistent link: https://www.econbiz.de/10005382318
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Measuring persistence in aggregate output: ARMA models, fractionally integrated ARMA models and nonparametric procedures
Hauser, Michael A.; Pötscher, Benedikt M.; … - In: Empirical economics : a journal of the Institute for … 24 (1999) 2, pp. 243-270
Persistent link: https://www.econbiz.de/10006298840
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Semiparametric and nonparametric testing for long memory : a Monte Carlo study
Hauser, Michael A. - In: Empirical economics : a journal of the Institute for … 22 (1997) 2, pp. 247-271
Persistent link: https://www.econbiz.de/10001224452
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Is the GNP fractionally integrated?
Reschenhofer, Erhard - In: Statistical papers 35 (1994) 4, pp. 309-322
Persistent link: https://www.econbiz.de/10001173329
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Using intraday statistics for the estimation of the return variance
Reschenhofer, Erhard - In: Journal of finance and investment analysis 2 (2013) 2, pp. 1-13
This paper proposes new estimators for the daily return variance which are based on common intraday statistics (opening, high, low, and closing prices). These estimators utilize information contained in products of absolute values of uncorrelated intraday statistics. An empirical study of nine...
Persistent link: https://www.econbiz.de/10009746033