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Persistent link: https://www.econbiz.de/10005775832
In this paper we consider empirical econometric models for nine brands of a fast-moving nondurable consumer product using weekly observed scanning data on market share and distribution conditional on advertising, price, promotion activities. Since the data show nonstationary characteristics, we...
Persistent link: https://www.econbiz.de/10005474862
Persistent link: https://www.econbiz.de/10005474871
In this paper we measure the extent to which countries are converging in per capita productivity levels. We formally define convergence in a time series analytical context, derive the necessary and sufficient conditions and introduce a cluster analytical procedure that enables us to distinguish...
Persistent link: https://www.econbiz.de/10005660878
In this paper we examine the interaction between data transformation and the empirical evidence obtained when testing for (non-)linearity. For this purpose we examine nonlinear features in 64 monthly and 53 quarterly US macroeconomic variables for a range of Box-Cox data transformations. Our...
Persistent link: https://www.econbiz.de/10005660880
A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long-lasting effect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for inflation,...
Persistent link: https://www.econbiz.de/10005660881
In this chapter we investigate empirical specification of smooth transition error correction models (STECMs). These models can be used to describe linear long-run relationships between nonstationary variables where adjustment towards equilibrium is nonlinear and can depend on exogenous...
Persistent link: https://www.econbiz.de/10005660889
Persistent link: https://www.econbiz.de/10005660892
The Interest in business cycle asymmetry has been steadily increasing over the last fifteen years. Most research has focused on the different behaviour of macro-economic variables during expansions and contractions, which by now is well documented. Recent evidence suggests that such a two-phase...
Persistent link: https://www.econbiz.de/10005660893
In addition to clear-cut seasonality in mean and variance, weekly Dutch temperature data appear to have a strong asymmetry in the impact of unexpectedly high or low temperatures on conditional volatility. Furthermore, this asymmetry also shows fairly pronounced seasonal variation. To describe...
Persistent link: https://www.econbiz.de/10005660916