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Detecting changes from short to long memory
Hassler, Uwe; Scheithauer, Jan - In: Statistical Papers 52 (2011) 4, pp. 847-870
Persistent link: https://www.econbiz.de/10009401673
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A note on change in persistence of U.S. city prices
Belaire-Franch, Jorge - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 5, pp. 649-653
Persistent link: https://www.econbiz.de/10013554849
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The Persistence and Predictive Power of the Dividend-Price Ratio
Park, Cheolbeom - Department of Economics, National University of Singapore - 2006
This paper presents strong statistical evidence that the dividend- price ratio in the US has experienced a change in persistence from I(0) to I(1), while stock returns have not. This provides an econometric explanation why the predictive power of the dividend-price ratio in the US has changed...
Persistent link: https://www.econbiz.de/10005518306
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Hysteresis in Unemployment Rates? A Comparison between Germany and the US
Hassler, Uwe; Wolters, Jürgen - In: Journal of Economics and Statistics (Jahrbuecher fuer … 229 (2009) 2-3, pp. 119-129
In this paper we compare the unemployment dynamics of the US and Germany with monthly data up to 2008. With data from 1971 on the evidence is mixed when applying descriptive methods or formal unit root tests. When allowing for fractional integration, however, we find similar results to the...
Persistent link: https://www.econbiz.de/10008559111
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Stationarity and invertibility of a dynamic correlation matrix
McAleer, Michael - 2017 - Revised: September 2017
the stationarity and invertibility conditions of the DCC model. The derivation of DCC from a vector random coefficient … than the returns shocks. The derivation of the regularity conditions, especially stationarity and invertibility, should … than returns shocks, as well as the associated stationarity and invertibility conditions. …
Persistent link: https://www.econbiz.de/10011715983
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Conditional density forecast of China's energy demand via QRNN model
Cao, Shubo; Xu, Qifa; Jiang, Cuixia; He, Yaoyao - In: Applied economics letters 25 (2018) 12, pp. 867-875
Persistent link: https://www.econbiz.de/10012130465
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Why Are Asset Returns Predictable?
Lüders, Erik - 2002
Starting from an information process governed by a geometric Brownian motion we show that asset returns are predictable if the elasticity of the pricing kernel is not constant. Declining [Increasing] elasticity of the pricing kernel leads to mean reversion and negatively autocorrelated asset...
Persistent link: https://www.econbiz.de/10010297953
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A likelihood ratio test for stationarity of rating transitions
Weißbach, Rafael; Walter, Ronja - 2008
For a time-continuous discrete-state Markov process as model for rating transitions, we study the time-stationarity by …
Persistent link: https://www.econbiz.de/10010300658
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Estacionariedad, cambios estructurales y crecimiento económico en México: 1895-2008
Noriega, Antonio E.; Rodríguez-Pérez, Cid Alonso - 2011
This paper shows that the evolution of the level of Mexico real and real per capita output between 1895 and 2008 can be adequately described through a trendstationary model, affected by 4 structural breaks, which occurred at dates that seem to coincide with domestic institutional arrangements,...
Persistent link: https://www.econbiz.de/10010322550
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Modelación de series de tiempo, estacionariedad y métodos Bayesianos no paramétricos
Martínez-Ovando, Juan Carlos; Walker, Stephen G. - 2011
In this paper we introduce two general non-parametric first-order stationary time-series models for which marginal (invariant) and transition distributions are expressed as infinite-dimensional mixtures. That feature makes them the first Bayesian stationary fully non-parametric models developed...
Persistent link: https://www.econbiz.de/10010322563