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Time Series Modelling using TSMod 3.24
Bos, Charles S. - 2003
TSMod is an interactive program which allows the user to estimate a broad range of univariate models. This review describes the possibilities of the package, from a user's perspective and with a secondary focus on the numerical accuracy of the program.
Persistent link: https://www.econbiz.de/10010324861
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The shadow economy in Norway: Demand for currency approach
Shima, Isilda - 2004
The main purpose of this study is to measure the level of the shadow economy in Norway following the demand for currency approach. The question analysed is how well does this approach capture the level of shadow economy in front of a decreasing level of currency in circulation and an increasing...
Persistent link: https://www.econbiz.de/10010284280
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Analyzing and Exploiting Asymmetries in the News Impact Curve
Haas, Markus; Mittnik, Stefan; Paolella, Marc S.; … - Institut für Schweizerisches Bankwesen <Zürich> - 2006
The recently proposed class of MixN-GARCH models, which couple a mixed normal distributional structure with linked GARCH-type dynamics, has been shown to offer a plausible decomposition of the contributions to volatility, as well as admirable out-of-sample forecasting performance, for financial...
Persistent link: https://www.econbiz.de/10005858753
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Spurious long-horizon regression in econometrics
Noriega-Muro, Antonio E.; Ventosa-Santaulària, Daniel - 2010
This paper extends recent research on the behaviour of the t-statistic in a long-horizon regression (LHR). We assume that the explanatory and dependent variables are generated according to the following models: a linear trend stationary process, a broken trend stationary process, a unit root...
Persistent link: https://www.econbiz.de/10008656734
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Time series modelling using TSMod 3.24
Bos, Charles S. - 2003
TSMod is an interactive program which allows the user to estimate a broad range of univariate models. This review describes the possibilities of the package, from a user's perspective and with a secondary focus on the numerical accuracy of the program.
Persistent link: https://www.econbiz.de/10011334344
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Parameter instability and forecasting performance : a Monte Carlo study
Anyfantakis, Costas; Caporale, Guglielmo Maria; Pittis, … - 2004
This paper uses Monte Carlo techniques to assess the loss in terms of forecast accuracy which is incurred when the true DGP exhibits parameter instability which is either overlooked or incorrectly modelled. We find that the loss is considerable when a FCM is estimated instead of the true TVCM,...
Persistent link: https://www.econbiz.de/10009728979
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Which parametric model for conditional skewness?
Feunou, Bruno; Jahan-Parvar, Mohammad R.; Tédongap, Roméo - 2013
This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness models. This procedure is based on regressing the realized skewness measures on model-implied conditional skewness values. We find...
Persistent link: https://www.econbiz.de/10009789539
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Improving the teaching of econometrics
Hendry, David F.; Mizon, Grayham E. - In: Cogent economics & finance 4 (2016) 1, pp. 1-26
We recommend a major shift in the Econometrics curriculum for both graduate and undergraduate teaching. It is essential … conducting empirical macroeconomic research. We focus on a new approach to macro-econometrics teaching, since even undergraduate … econometrics courses must include analytical methods for time series that exhibit both evolution from stochastic trends and abrupt …
Persistent link: https://www.econbiz.de/10011487537
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Cartel in the Indian cement industry : an attempt to identify it
Bejger, Sylwester - 2012
This article is devoted to the problem of the detection of overt or tacit collusion equilibrium in the context of the choice of the appropriate econometric method, a choice that is determined by the amount of information that the observer possesses. The author addresses this problem in two...
Persistent link: https://www.econbiz.de/10009514728
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Some computational aspects of Gaussian CARMA modelling
Tómasson Helgi - 2011
Representation of continuous-time ARMA, CARMA, models is reviewed. Computational aspects of simulating and calculating the likelihood-function of CARMA are summarized. Some numerical properties are illustrated by simulations. Some real data applications are shown. -- CARMA ; maximum-likelihood ;...
Persistent link: https://www.econbiz.de/10009685469