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Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle

Lopez, C.; Murray, C J.; Papell, D H. - Banque de France - 2011

Using median-unbiased estimation based on Augmented-Dickey-Fuller (ADF) regressions, recent research has questioned the validity of Rogoff's "remarkable consensus" of 3-5 year half-lives of deviations from PPP. The confidence intervals of these half-life estimates, however, are extremely wide,...

Persistent link: https://www.econbiz.de/10009228696

Modèls Garch à la mémoire longue: application aux taux de change tunisiens

Lahiani, Amine; Yousfi, Ouidad - Volkswirtschaftliche Fakultät, … - 2007

This paper deals with statistics�and econometrics�properties of fractionally integra- ted GARCH (FIGARCH). We compare these characteristics with those of traditional models. We insist on the GARCH exponential/IGARCH in�nite decrease of volatility impact. Then, we apply it on three Tunisian...

Persistent link: https://www.econbiz.de/10008836445

Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors

Kilian, Lutz; Zha, Tao - C.E.P.R. Discussion Papers - 1999

The half-life of deviations from purchasing power parity (PPP) plays a central role in the ongoing debate about the ability of macroeconomic models to account for the time series behaviour of the real exchange rate. The main contribution of this paper is a general framework in which alternative...

Persistent link: https://www.econbiz.de/10005792458

Errors-in-Variables Estimation with No Instruments

Gencay, Ramazan; Gradojevic, Nikola - Rimini Centre for Economic Analysis (RCEA) - 2009

This paper develops a wavelet (spectral) approach to estimate the parameters of a linear regression model where the regressand and the regressors are persistent processes and contain a measurement error. We propose a wavelet filtering approach which does not require instruments and yields...

Persistent link: https://www.econbiz.de/10008487529

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

Financial Market Integration and World Economic Stabilization toward Purchasing Power Parity

Okimoto, Tatsuyoshi; Shimotsu, Katsumi - 2007

financial market integration, and world economic stabilization toward PPP, by examining the change in the persistence of PPP … changes in the persistence for highly persistent time series. First, we test the null hypothesis of no decline in the … persistence of PPP deviations. The test rejects the null at the 10% significance level for 11 out of 17 countries, thus providing …

Persistent link: https://www.econbiz.de/10011940752

Three methods of forecasting currency crises: Which made the run in signaling the South African currency crisis of June 2006?

Knedlik, Tobias; Scheufele, Rolf - 2007

In this paper we test the ability of three of the most popular methods to forecast the South African currency crisis of June 2006. In particular we are interested in the out-ofsample performance of these methods. Thus, we choose the latest crisis to conduct an out-of-sample experiment. In sum,...

Persistent link: https://www.econbiz.de/10010269920

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/10011496033

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

Three methods of forecasting currency crises : which made the run in signaling the South African currency crisis of June 2006?

Knedlik, Tobias (contributor); Scheufele, Rolf (contributor) - 2007

Persistent link: https://www.econbiz.de/10003613014