Search Results - subject:"Local to unity"

Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?

Pesavento, Elena; Rossi, Barbara - Department of Economics, European University Institute - 2006

This paper is a comprehensive comparison of existing methods for constructing confidence bands for univariate impulse response functions in the presence of high persistence. Monte Carlo results show that Kilian (1998a), Wright (2000), Gospodinov (2004) and Pesavento and Rossi (2005) have...

Persistent link: https://www.econbiz.de/10005744326

Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?

Pesavento, Elena; Rossi, Barbara - Duke University, Department of Economics - 2006

. The paper makes recom- mendations as to the appropriateness of each method in empirical work. Keywords: Local to unity … bootstrap method for local to unity processes. More recently, Wright (2000), Gospodinov (2004) and Pesavento and Rossi (2005 …) have suggested the use of local-to-unity devices to obtain better approximations to the IRFs’ distribution. Wright (2000 …

Persistent link: https://www.econbiz.de/10005787316

Predictive regressions with panel data

Hjalmarsson, Erik - Nationalekonomiska institutionen, Handelshögskolan - 2005

This paper analyzes econometric inference in predictive regressions in a panel data setting. In a traditional time-series framework, estimation and testing are often made difficult by the endogeneity and near persistence of many forecasting variables; tests of whether the dividend-price ratio...

Persistent link: https://www.econbiz.de/10005651706

Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence

Phillips, Peter C.B.; Magadalinos, Tassos - Cowles Foundation for Research in Economics, Yale University - 2005

local to unity cases (n) and explosive autoregressions ((1 + c)^{n}). For c < 0, we provide results for alpha in (0,1) that …, bridging the /n and n convergence rates for the stationary and conventional local to unity cases. Weakly dependent errors are … shown to induce a bias in the limit distribution, analogous to that of the local to unity case. Linkages to the limit theory …

Persistent link: https://www.econbiz.de/10005593308

Incidental Trends and the Power of Panel Unit Root Tests

Moon, Hyungsik Roger; Perron, Benoit; Phillips, Peter C.B. - Institute of Economic Policy Research (IEPR), … - 2005

The asymptotic local power of various panel unit root tests are investigated. The (Gaussian) power envelope is obtained under homogeneous and heterogeneous alternatives. The envelope is compared with the asymptotic power functions for the pooled t- test, the Ploberger-Phillips (2002) test, and a...

Persistent link: https://www.econbiz.de/10005132575

Expectations Hypotheses Tests and Predictive Regressions at Long Horizons

Rossi, Barbara - Duke University, Department of Economics - 2005

Many rational expectations models state that an economic variable is determined as the present value of future variables. These restrictions have traditionally been tested on VARs where variables appear either in levels (or cointegrating relationships) or first differences. Commonly used test...

Persistent link: https://www.econbiz.de/10005114013

Mean and autocovariance function estimation near the boundary of stationarity

Giraitis, Liudas; Phillips, Peter C.B. - In: Journal of Econometrics 169 (2012) 2, pp. 166-178

We analyze the applicability of standard normal asymptotic theory for linear process models near the boundary of stationarity. Limit results are given for estimation of the mean, autocovariance and autocorrelation functions within the broad region of stationarity that includes near boundary...

Persistent link: https://www.econbiz.de/10010664694

Limit Theory for Moderate Deviations from a Unit Root

Phillips, Peter C.B.; Magdalinos, Tassos - Cowles Foundation for Research in Economics, Yale University - 2004

square root of n and n convergence rates for the stationary (alpha = 0) and conventional (alpha = 1) local to unity cases …

Persistent link: https://www.econbiz.de/10005463868

Uniform Limit Theory for Stationary Autoregression

Giraitis, Liudas; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2004

First order autoregression is shown to satisfy a limit theory which is uniform over stationary values of the autoregressive coefficient rho = rho_{n} in [0,1) provided (1 - rho_{n})n approaches infinity. This extends existing Gaussian limit theory by allowing for values of stationary rho that...

Persistent link: https://www.econbiz.de/10005463913

A New Test of Asymmetric Stationarity in the Presence of Deterministic Trends: Simulation and Empirical Evidence

Cook, Steven - In: The International Journal of Applied Economics 1 (2004) 1, pp. 46-54

Using local-to-unity detrending, a modified momentum-threshold autoregressive test is derived to allow the unit root …

Persistent link: https://www.econbiz.de/10004975663