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Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration

Nielsen, Morten Ørregaard; Frederiksen, Per - Economics Department, Queen's University - 2005

In this paper we compare through Monte Carlo simulations the finite sample properties of estimators of the fractional differencing parameter, d. This involves frequency domain, time domain, and wavelet based approaches and we consider both parametric and semiparametric estimation methods. The...

Persistent link: https://www.econbiz.de/10005688402

Simple (but effective) tests of long memory versus structural breaks

Shimotsu, Katsumi - Economics Department, Queen's University - 2006

This paper proposes two simple tests that are based on certain time domain properties of I(d) processes. First, if a time series follows an I(d) process, then each subsample of the time series also follows an I(d) process with the same value of d. Second, if a time series follows an I(d)...

Persistent link: https://www.econbiz.de/10005688497

Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood

Frederiksen, Per; Nielsen, Frank S. - School of Economics and Management, University of Aarhus - 2008

In this paper, we propose new tests for long memory in stationary and nonstationary time series possibly perturbed by short-run noise which may be serially correlated. The tests are all based on semiparametric estimators and exploit the self-similarity property of long memory processes. We o¤er...

Persistent link: https://www.econbiz.de/10005440038

Long memory in return structures from developed markets.

Bhattacharya, Sharad Nath; Bhattacharya, Mousumi - In: Cuadernos de Gestión 13 (2013) 02, pp. 127-143

The present study aimed at investigating the existence of long memory properties in ten developed stock markets across the globe. When return series exhibit long memory, the series realizations are not independent over time and past returns can help predict future returns, thus violating the...

Persistent link: https://www.econbiz.de/10010660300

Variance Ratio Testing for Fractional Cointegration in Presence of Trends and Trend Breaks

Dechert, Andreas - Volkswirtschaftliche Fakultät, … - 2012

Modeling fractional cointegration relationships has become a major topic in applied time series analysis as it steps back from the traditional rigid I(1)/I(0) methodology. Hence, the number of proposed tests and approaches has grown over the last decade. The aim of this paper is to study the...

Persistent link: https://www.econbiz.de/10011113446

A note on the dynamics of persistence in US inflation

Noriega, Antonio E.; Ramos-Francia, Manuel - 2008

Empirical research on the degree and stability of inflation persistence in the US has produced mixed results: some suggest high and unchanged persistence during the last few decades, while others argue in favor of a decline in persistence since the early 1980s. We contribute to this debate by...

Persistent link: https://www.econbiz.de/10010322575

Would price-level targeting destabilise the economy?

Minford, Patrick; Nowell, Eric; Webb, Bruce - 2005

When indexation is endogenous price level targeting slightly adds to economic stability, contrary to widespread fears to the contrary. The aggregate supply curve flattens and the aggregate demand curve steepens, increasing stability in the face of supply shocks.

Persistent link: https://www.econbiz.de/10010322829

Purchasing Power Parity Influence on Real Exchange Rate Behavior in Romania

Ghiba, Nicolae - In: CES Working Papers 3 (2011) 4, pp. 524-536

-Fuller and Phillips-Perron stationarity tests in order to check real exchange deviations from PPP. Also, we investigate the … euro area. The main conclusions of this research highlight that PPP doesn’t holds; real exchange rate stationarity tests … doest not confirm the stationarity, thus between the aforementioned three variables it doesn’t exists any equilibrium …

Persistent link: https://www.econbiz.de/10012016973

Testing Purchasing Power Parity in Romania using standard unit root tests, with one structural break and cointegration analysis

Ghiba, Nicolae; Sadoveanu, Diana - In: Romanian Economic Journal 15 (2012) 44, pp. 225-242

stationarity implies that a shock it is absorbed in time and PPP holds in long-run. If nominal exchange rate and prince indices are …

Persistent link: https://www.econbiz.de/10010970425

Stationarity of econometric learning with bounded memory and a predicted state variable

Damjanovic, Tatiana; Girdėnas, Šarūnas; Liu, Keqing - In: Economics Letters 130 (2015) C, pp. 93-96

In this paper, we consider a model where producers set their prices based on their prediction of the aggregated price level and an exogenous variable, which can be a demand or a cost-push shock. To form their expectations, they use OLS-type econometric learning with bounded memory. We show that...

Persistent link: https://www.econbiz.de/10011263417