Search Results - subject:"Fractional processes"

Market design, bidding rules, and long memory in electricity prices

Sapio, Sandro - 2005

In uniform price, sealed-bid day-ahead electricity auctions, the market price is set at the intersection between aggregate demand and supply functions built by a market operator. Each day, just one agent - the marginal generator - owns the market-clearing plant. Day-ahead auctions are moreover...

Persistent link: https://www.econbiz.de/10010328513

Habit, aggregation and long memory: evidence from television audience data

Byers, D; Peel, D; Thomas, D A - Department of Economics, Management School - 2005

Many economic outcomes appear to be influenced by habit or commitment, giving rise to persistence. In cases where the decision is binary and persistent, the aggregation of individual time series can result in a fractionally integrated process for the aggregate data. Certain television programmes...

Persistent link: https://www.econbiz.de/10011195974

Testing I(1) against I(d) alternatives in the presence of deteministic components

Dolado, Juan J.; Gonzalo, Jesús; Mayoral, Laura - Department of Economics and Business, Universitat … - 2005

This paper discusses the role of deterministic components in the DGP and in the auxiliary regression model which underlies the implementation of the Fractional Dickey-Fuller (FDF) test for I(1) against I(d) processes with d € [0, 1). This is an important test in many economic applications...

Persistent link: https://www.econbiz.de/10005572574

The distance between rival nonstationary fractional processes

Robinson, Peter M. - London School of Economics (LSE) - 2004

Asymptotic inference on nonstationary fractional time series models, including cointegrated ones, is proceeding along two routes, determined by alternative definitions of nonstationary processes. We derive bounds for the mean squared error of the difference between (possibly tapered) discrete...

Persistent link: https://www.econbiz.de/10010884694

Efficiency improvements in inference on stationary and nonstationary fractional time series

Robinson, Peter - London School of Economics (LSE) - 2004

We consider a time series model involving a fractional stochastic component, whose integration order can lie in the stationary/invertible or nonstationary regions and be unknown, and additive deterministic component consisting of a generalised polynomial. The model can thus incorporate competing...

Persistent link: https://www.econbiz.de/10010928700

Market Design, Bidding Rules, and Long Memory in Electricity Prices

Sapio, Sandro - Laboratory of Economics and Management (LEM), Scuola … - 2004

, HyperbolicDiscount- ing, Long Memory, Fractional Processes. 1 Introduction There are many reasons to believe that the representative ….2 Generalized Fractional Processes The processes suggested by the foregoing analysis belong to a rather general class of stochastic … time series models: generalized fractional processes. Indeed, if one approximates the short-memory component hP(!) by a …

Persistent link: https://www.econbiz.de/10005650049

Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series

Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2004

Persistent link: https://www.econbiz.de/10005151152

The Distance between Rival Nonstationary Fractional Processes

Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2004

Persistent link: https://www.econbiz.de/10005670823

Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components

Dolado, Juan; Gonzalo, Jesus; Mayoral, Laura - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 4, pp. 1562-1562

This paper analyses the behaviour of a Wald-type test, i.e., the (Efficient) Fractional Dickey-Fuller (EFDF) test of I(1) against I(d), d1, relative to LM tests. Further, it extends the implementation of the EFDF test to the presence of deterministic trending components in the DGP. Tests of...

Persistent link: https://www.econbiz.de/10005579867

Testing for a Unit Root Against Fractional Alternatives in the Presence of a Maintained Trend

Dolado, Juan J.; Gonzalo, Jesús; Mayoral, Laura - Barcelona Graduate School of Economics (Barcelona GSE) - 2003

This paper discusses the role of deterministic components in the DGP and in the auxiliary regression model which underlies the implementation of the Fractional Dickey- Fuller (FDF) test for I(1) against F I(d) processes with d 2 [0; 1): Invariant tests to the presence of a drift under the null of...

Persistent link: https://www.econbiz.de/10010547305