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Unit Root Log Periodogram Regression
Phillips, Peter C. B. - 2000
Log periodogram (LP) regression is shown to be consistent and to have a mixed normal limit distribution when the memory parameter d = 1. Gaussian errors are not required. Tests of d = 1 based on LP regression are consistent against d < 1 alternatives but inconsistent against d > 1 alternatives. A test based on a modified LP regression that...</1>
Persistent link: https://www.econbiz.de/10014164232
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Spurious Regressions with Stationary Gegenbauer Processes and Harmonic Processes
Sun, Yixiao - 2003
This paper studies the spurious regressions among stationary Gegenbauer processes, stationary harmonic processes and deterministic trigonometric series. We find the spurious regression can occur between two stationary Gegenbauer processes, as long as their generalized fractional differencing...
Persistent link: https://www.econbiz.de/10014089697
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Improving MCMC Using Efficient Importance Sampling
Liesenfeld, Roman; Richard, Jean-Francois - 2006
This paper develops a systematic Markov Chain Monte Carlo (MCMC) framework based upon Efficient Importance Sampling (EIS) which can be used for the analysis of a wide range of econometric models involving integrals without an analytical solution. EIS is a simple, generic and yet accurate...
Persistent link: https://www.econbiz.de/10014058202
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Estimating the aggregate agricultural supply response : a survey of techniques and results for developing countries
Thiele, Rainer - 2000
For many low-income countries, the impact of structural reforms on economic growth and poverty alleviation crucially depends on the response of aggregate agricultural supply to changing incentives. Despite its policy relevance, the size of this parameter is still largely unknown. This paper...
Persistent link: https://www.econbiz.de/10011477151
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Mean shift detection under long-range dependencies with ART
Willert, Juliane - 2010
Atheoretical regression trees (ART) are applied to detect changes in the mean of a stationary long memory time series when location and number are unknown. It is shown that the BIC, which is almost always used as a pruning method, does not operate well in the long memory framework. A new method...
Persistent link: https://www.econbiz.de/10003930919
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Forecasting with Nonlinear Time Series Models
Terasvirta, Timo; Kock, Anders Bredahl - 2010
In this paper, nonlinear models are restricted to mean nonlinear parametric models. Several such models popular in time series econometrics are presented and some of their properties discussed. This includes two models based on universal approximators: the Kolmogorov-Gabor polynomial model and...
Persistent link: https://www.econbiz.de/10014199417
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Understanding Regressions with Observations Collected at High Frequency over Long Span
Chang, Yoosoon - 2019
contrast, our asymptotic theory predicts that the spuriousness disappears if we use the robust version of the Wald test with an …
Persistent link: https://www.econbiz.de/10012892708
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Markov-Switching Three-Pass Regression Filter
Guerin, Pierre - 2017
We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes. The new method, denoted as Markov-switching three-pass...
Persistent link: https://www.econbiz.de/10012940778
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Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegration Regression
Wang, Qiying - 2006
We provide a new asymptotic theory for local time density estimation for a general class of functionals of integrated … time series. This result provides a convenient basis for developing an asymptotic theory for nonparametric cointegrating … avoids Fourier integral representations and Markov process theory which have been used in earlier research on this type of …
Persistent link: https://www.econbiz.de/10012778972
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Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
Sun, Yixiao - 2006
-parametric tests. Small-b asymptotics involve standard limit theory such as standard normal or chi-squared limits, whereas fixed …
Persistent link: https://www.econbiz.de/10012783449