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Testing for Autocorrelation and Unit Roots in the Presence of Conditional Heteroskedasticity of Unknown Form

Guo, Binbin; Phillips, Peter C. B. - 2003

The presence of conditional heteroskedasticity invalidates standard autocorrelation tests such as the Durbin …-Watson statistic and its many variants, and reduces the power of standard unit root tests like the Dickey-Fuller test. This paper … new autocorrelation tests (called g- and gl- tests), and derives an asymptotic theory for the new statistics. The g test …

Persistent link: https://www.econbiz.de/10014087060

Consistent Hac Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation

Phillips, Peter C. B.; Sun, Yixiao; Jin, Sainan - 2003

A new family of kernels is suggested for use in heteroskedasticity and autocorrelation consistent (HAC) and long run … and are intended to be used with no truncation (or bandwidth) parameter. As the power parameter (rho) increases, the … dominance of the Bartlett kernel over quadratic kernels in test power and yields new findings about the asymptotic properties of …

Persistent link: https://www.econbiz.de/10014088395

The role of the log transformation in forecasting economic variables

Lütkepohl, Helmut; Fang, Xu - 2009

For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this transformation is often considered to stabilize the variance of a series. We investigate under which conditions taking logs is beneficial for forecasting. Forecasts based on the...

Persistent link: https://www.econbiz.de/10003820020

The dynamics of real exchange rates : a reconsideration

Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011

While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving …

Persistent link: https://www.econbiz.de/10008908972

Identification problems in ESTAR models and a new model

Donauer, Stefanie; Heinen, Florian; Sibbertsen, Philipp - 2010

In ESTAR models it is usually difficult to determine parameter estimates, as it can be observed in the literature. We show that the phenomena of getting strongly biased estimators is a consequence of the so-called identification problem, the problem of properly distinguishing the transition...

Persistent link: https://www.econbiz.de/10003950818

Extreme value models in a conditional duration intensity framework

Herrera, Rodrigo; Schipp, Bernhard - 2011

The analysis of return series from financial markets is often based on the Peaks-over-threshold (POT) model. This model assumes independent and identically distributed observations and therefore a Poisson process is used to characterize the occurrence of extreme events. However, stylized facts...

Persistent link: https://www.econbiz.de/10009009682

Modelling seasonalities in nonlinear inflation rates using SEASETARs

Gooijer, Jan G. de; Vidiella-i-Anguera, Antoni - 2000

In this paper, we present a new time series model, whichdescribes self-exciting threshold autoregressive (SETAR) nonlinearityand seasonality simultaneously. The model is termed multiplicativeseasonal SETAR (SEASETAR). It can be viewed as a special case of ageneral non-multiplicativeSETAR model...

Persistent link: https://www.econbiz.de/10011304390

On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations

Rossen, Anja - 2014

Although many macroeconomic time series are assumed to follow nonlinear processes, nonlinear models often do not provide better predictions than their linear counterparts. Furthermore, such models easily become very complex and difficult to estimate. The aim of this study is to investigate...

Persistent link: https://www.econbiz.de/10010434848

Modeling autoregressive processes with moving-quantiles-implied nonlinearity

Ishida, Isao; Kvedaras, Virmantas - In: Econometrics : open access journal 3 (2015) 1, pp. 2-54

We introduce and investigate some properties of a class of nonlinear time series models based on the moving sample quantiles in the autoregressive data generating process. We derive a test fit to detect this type of nonlinearity. Using the daily realized volatility data of Standard & Poor's 500...

Persistent link: https://www.econbiz.de/10010478989

Determing the number of regimes in a threshold autoregressive model using smooth transition autoregressions

Strikholm, Birgit (contributor); … - 2005 - [Elektronische Ressource], Rev. February 11, 2005

In this paper we propose a method for determining the number of regimes in threshold autoregressive models using smooth transition autoregression as a tool. As the smooth transition model is just an approximation to the threshold autoregressive one, no asymptotic properties are claimed for the...

Persistent link: https://www.econbiz.de/10002535492