Search Results - subject:"Differencing"

Beran, Jan; Feng, Yuanhua; Ocker, Dirk - 1999

trend is estimated by a kernel method. The differencing and fractional differencing parameters as well as the autoregressive …

Persistent link: https://www.econbiz.de/10010316696

SEMIFAR models

Beran, Jan; Feng, Yuanhua; Ocker, Dirk - Institut für Wirtschafts- und Sozialstatistik, … - 1999

trend is estimated by a kernel method. The differencing and fractional differencing parameters as well as the autoregressive …

Persistent link: https://www.econbiz.de/10010955524

SEMIFAR models

Beran, Jan; Feng, Yuanhua; Ocker, Dirk - 1999

trend is estimated by a kernel method. The differencing and fractional differencing parameters as well as the autoregressive …

Persistent link: https://www.econbiz.de/10009793259

SEMIFAR models : a semiparametric framework for modelling trends, long range dependence and nonstationarity

Beran, Jan - 1999

, including a fractional and an integer differencing parameter, can be estimated by maximum likelihood. deterministic trends are …

Persistent link: https://www.econbiz.de/10011543808

SEMIFAR forecasts, with applications to foreign exchange rates

Beran, Jan; Ocker, Dirk - 1999

SEMIFAR models introduced in Beran (1999) provide a semiparametric modelling framework that enables the data analyst to separate deterministic and stochastic trends as well as short- and long-memory components in an observed time series. A correct distinction between these components, and in...

Persistent link: https://www.econbiz.de/10011544579

A Primer on Unit Root Testing

Phillips, Peter C.B.; Xiao, Zhijie - Cowles Foundation for Research in Economics, Yale University - 1998

The immense literature and diversity of unit root tests can at times be confusing even to the specialist and presents a truly daunting prospect to the uninitiated. In consequence, much empirical work still makes use of the simplest testing procedures because it is unclear from the literature and...

Persistent link: https://www.econbiz.de/10005593418

Long Memory Inflationary Dynamics: The Case of Brazil

Reisen, Valderio; Cribari-Neto, Francisco; Jensen, Mark - In: Studies in Nonlinear Dynamics & Econometrics 7 (2007) 3, pp. 1157-1157

in Brazil are nearly fully inertial. We estimate the fractional differencing parameter using an ARFIMA specification for … found by other researchers. We also found that the estimates of the fractional parameter are invariant to first differencing. …

Persistent link: https://www.econbiz.de/10004966230

Empirical study of ARFIMA model based on fractional differencing

Xiu, Jin; Jin, Yao - In: Physica A: Statistical Mechanics and its Applications 377 (2007) 1, pp. 138-154

model for it, and detailed the procedure of fractional differencing. Furthermore, we compared the ARFIMA model built by this … means with the one that took first-order differencing as an alternative. The result showed that, if doing so, much useful … differencing, and was employed in the empirical study. It was illustrated that the forecast performance of ARFIMA model was not as …

Persistent link: https://www.econbiz.de/10010588698

Assessing the Effects of Local Taxation Using Microgeographic Data

Duranton, Gilles; Gobillon, Laurent; Overman, Henry G - C.E.P.R. Discussion Papers - 2006

We study the impact of local taxation on the location and growth of firms. Our empirical methodology pairs establishments across jurisdictional boundaries to estimate the impact of taxation. Our approach improves on existing work as it corrects for unobserved establishment heterogeneity, for...

Persistent link: https://www.econbiz.de/10005504532

Assessing the effects of local taxation using microgeographic data

Duranton, Gilles; Gobillon, Laurent; Overman, Henry G - University of Toronto, Department of Economics - 2006

We study the impact of local taxation on the location and growth of firms. Our empiricalmethodology pairs establishments across jurisdictional boundaries to estimate the impact of taxation. Our approach improves on existing work as it corrects for unobserved establishment heterogeneity, for...

Persistent link: https://www.econbiz.de/10005704803