Search Results - subject:"(stochastic) unit root"

Robust inference with stochastic local unit root regressors in predictive regressions

Liu, Yanbo; Phillips, Peter C. B. - 2021

Persistent link: https://www.econbiz.de/10012807748

Estimation and inference for the threshold model with hybrid stochastic local unit root regressors

Chen, Chaoyi; Stengos, Thanasēs - In: Journal of Risk and Financial Management 15 (2022) 6, pp. 1-15

In this paper, we study the estimation and inference of the threshold model with hybrid local stochastic unit root … model with unit root, local-to-unity, and stochastic unit root regressors. We provide the estimation strategy for the least …

Persistent link: https://www.econbiz.de/10014332443

Estimation and inference for the threshold model with hybrid stochastic local unit root regressors

Chen, Chaoyi; Stengos, Thanasēs - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-15

Persistent link: https://www.econbiz.de/10013273589

Understanding temporal aggregation effects on kurtosis in financial indices

Lieberman, Offer; Phillips, Peter C. B. - 2018

sampling interval increases. This paper uses stochastic unit root (STUR) and continuous time analysis to explain the phenomenon …

Persistent link: https://www.econbiz.de/10011948760

A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing

Lieberman, Offer; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2014

This paper extends recent findings of Lieberman and Phillips (2014) on stochastic unit root (SUR) models to a …

Persistent link: https://www.econbiz.de/10011096425

Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions

Lieberman, Offer; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2013

appears in the score function. A variant of the stochastic unit root model within the class is studied and a large sample …

Persistent link: https://www.econbiz.de/10011184577

A Note on Shock Persistence in Total Factor Productivity Growth

Mishra, Tapas; Ouattara, Bazoumana; Parhi, Mamata - In: Economics Bulletin 31 (2011) 2, pp. 1869-1893

set of African countries over the period 1970-2003. Contrary to convention, we find that stochastic unit root is present …

Persistent link: https://www.econbiz.de/10009144888

Bayesian estimation and model selection in the generalised stochastic unit root model

Yang, Fuyu; Leon-Gonzalez, Roberto - 2010

We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR …

Persistent link: https://www.econbiz.de/10010270805

Bayesian Estimation and Model Selection in the Generalised Stochastic Unit Root Model

Leon-Gonzalez, Roberto; Yang, Fuyu - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR …

Persistent link: https://www.econbiz.de/10008513138

The ACR model: a multivariate dynamic mixture autoregression

Bec, Frédérique; Rahbek, Anders; Shephard, Neil - Théorie Économique, Modélisation, Application … - 2008

In this paper we propose and analyse the Autoregressive Conditional Root (ACR) time series mmodel. It is a multivariate dynamic mixture autoregression which allows for non-stationary epochs. It proves to be an appealing alternative to existing nonlinear models such as e.g. the threshold...

Persistent link: https://www.econbiz.de/10005328251