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Forecasting random walks under drift instability

Pesaran, Mohammad Hashem; Pick, Andreas - 2008

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10010276222

Inflation in the G7 Countries : Persistence and Structural Breaks

Caporale, Guglielmo Maria - 2020

This paper examines long-range dependence in the inflation rates of the G7 countries by estimating their (fractional) order of integration d over the sample period January 1973 - March 2020. The results indicate that the series are very persistent, the estimated value of d being equal to or...

Persistent link: https://www.econbiz.de/10012831651

Reflections on “Testing for Unit Roots in Heterogeneous Panels”

Im, Kyung So; Pesaran, M. Hashem; Shin, Yongcheol - 2023

This article is our personal perspective on the IPS test and the subsequent developments of unit root and cointegration tests in dynamic panels with and without cross-section dependence. In this note, we discuss the main idea behind the test and the publication process that led to Im, Pesaran...

Persistent link: https://www.econbiz.de/10014262740

Panel Unit Root Tests in the Presence of a Multifactor Error Structure

Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - 2021

addition the estimation of the number of factors as well as the factors themselves. Small sample properties of the proposed …

Persistent link: https://www.econbiz.de/10013316613

Market Efficiency in the Age of Big Data

Martin, Ian - 2020

Modern investors face a high-dimensional prediction problem: thousands of observable variables are potentially relevant for forecasting. We reassess the conventional wisdom on market efficiency in light of this fact. In our model economy, which resembles a typical machine learning setting, N...

Persistent link: https://www.econbiz.de/10012844214

Heterogeneous Autoregressions in Short T Panel Data Models

Pesaran, M. Hashem; Yang, Liying - 2023

This paper considers a ﬁrst-order autoregressive panel data model with individual-speciﬁc eﬀects and a heterogeneous autoregressive coeﬃcient. It proposes estimators for the moments of the cross-sectional distribution of the autoregressive coeﬃcients, with a focus on the ﬁrst two...

Persistent link: https://www.econbiz.de/10014347822

Cycles and Long-Range Behaviour in the European Stock Market

Caporale, Guglielmo Maria - 2019

This paper uses a modelling framework which includes two singularities (or poles) in the spectral density function, one corresponding to the long-run (zero) frequency and the other to the cyclical (non-zero) frequency. The adopted specification is very general, since it allows for fractional...

Persistent link: https://www.econbiz.de/10012859046

Persistence in the Realized Betas : Some Evidence for the Spanish Stock Market

Caporale, Guglielmo Maria - 2020

This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies with the highest market capitalization included in the Spanish IBEX stock market index. Fractional integration methods are applied to estimate their degree of persistence at the...

Persistent link: https://www.econbiz.de/10012838240

Stock Market Linkages between the ASEAN Countries, China and the Us : A Fractional Cointegration Approach

Caporale, Guglielmo Maria - 2019

This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period from November 2002 to March 2018. The linkages between both aggregate and financial sector stock indices (both weekly and monthly) are analysed using fractional integration and...

Persistent link: https://www.econbiz.de/10012891049

Persistence, Non-Linearities and Structural Breaks in European Stock Market Indices

Caporale, Guglielmo Maria - 2019

This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no...

Persistent link: https://www.econbiz.de/10012866377

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