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Testing for Structural Breaks in Small Samples

Antoshin, Sergei; Berg, Andrew; Souto, Marcos - International Monetary Fund (IMF) - 2008

In a recent paper, Bai and Perron (2006) demonstrate that their approach for testing for multiple structural breaks in time series works well in large samples, but they found substantial deviations in both the size and power of their tests in smaller samples. We propose modifying their...

Persistent link: https://www.econbiz.de/10005264217

The Doctrine of Relative Purchasing Power Parity Re-examined

Beach, Elsworth D.; Kruse, Nancy Cottrell; Uri, Noel D. - In: Journal of Economic Studies 20 (1993) September, pp. 3-23

are obtained via appropriate autoregressive integrated moving average filters and, second, where cointegration techniques …

Persistent link: https://www.econbiz.de/10004987088

Economists, Incentives, Judgment, and Empirical Work

Colander, David C. - Institut für Weltwirtschaft (IfW) - 2008

This paper asks the question: Why has the ?general-to-specific? cointegrated VAR approach as developed in Europe had only limited success in the US as a tool for doing empirical macroeconomics, where what might be called a ?theory comes first? approach dominates? The reason this paper highlights...

Persistent link: https://www.econbiz.de/10005083375

The Determinants of the Harare Stock Exchange (HSE) Market Capitalisation

Ilmolelian, Peter - EconWPA - 2005

This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...

Persistent link: https://www.econbiz.de/10005119105

Cointegration versus traditional econometric techniques in applied economics

Zietz, Joachim - In: Eastern Economic Journal 26 (2000) 4, pp. 469-482

The paper illustrates some of the well-known problems with cointegration analysis in order to provide some perspective … on the usefulness of cointegration techniques in applied economics. A number of numerical examples are employed to … cointegration techniques. The results suggest that, first, cointegration techniques need to be applied with great care and that …

Persistent link: https://www.econbiz.de/10005641620

Managing Funds in the US Market: How to Distinguish Between Transitory Distortions and Structural Changes in the Stock Prices?

Bruneau, C.; Duval-Kieffer, C.; Nicolai, J.P. - Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. - 1997

In this paper, we estimate a reliable fundamental value of the S&P index, standing for a long run target value in Error-Correcting Modelling of the dynamics of the subsequnet returns. The present Value Model suggests two fundamentals: the dividends and a discount rate factor, specified as a...

Persistent link: https://www.econbiz.de/10005660679

Residual-Based Tests for Cointegration in Models with Regime Shifts.

Gregory, A.W.; Hansen, B.E. - University of Rochester - Center for Economic Research … - 1992

Persistent link: https://www.econbiz.de/10005698147

Testing for Cointegration: The Effects of Mis-Specifying the Lag Length.

Bewley, R.; Yang, M. - School of Economics, UNSW Business School - 1993

Persistent link: https://www.econbiz.de/10005631380

On Cointegration Test for VAR Models with Drift.

Yang, M.; Bewley, R. - School of Economics, UNSW Business School - 1995

Persistent link: https://www.econbiz.de/10005664144

An introduction to stochastic Unit Root Processes.

Granger, E.J.; Swanson, N.R. - Department of Economics, Pennsylvania State University - 1996

A class of nonlinear processes which have a root that is not constant, but is stochastic, and varying around unity is introduced. Th eprocess can be stationary for some periods, and mildly explosive for others.

Persistent link: https://www.econbiz.de/10005664250