Search Results - subject:"STATIONARITY"

Electricity demand analysis and forecasting: The tradition is questioned

Pillai, N. Vijayamohanan - Centre for Development Studies (CDS) - 2001

analysis in general. (ii) As the time series regression approach of these studies did not account for possible non-stationarity …

Persistent link: https://www.econbiz.de/10005537330

A family of autoregressive conditional duration models

FERNANDES, Marcelo; GRAMMIG, Joachim - Center for Operations Research and Econometrics (CORE), … - 2001

-order moments, strict stationarity, geometric ergodicity and [beta]-mixing property with exponential decay. We next derive moment …

Persistent link: https://www.econbiz.de/10005008441

The Successful Imitation of the Japanese Lean Production System by American Firms: Impact on American Economic Growth

Sanidas, E. - School of Accounting, Economics, and Finance, … - 2001

This paper provides some quantitative evidence about the strong links between the Lean Production System (LPS) or equivalently the holistic Just-in-Time/Quality Control (JIT/QC) system and sectoral (micro) economic growth. This evidence is supported by qualitative arguments that present the LPS...

Persistent link: https://www.econbiz.de/10005730563

Structual Break: Tests of the Present-Value Government Borrowing Constraint and Stability of Debt-GDP Ratio in the UK: 1970-2000

Ghatak A. - In: European Research Studies Journal IV (2001) 3-4, pp. 37-54

In this paper we argue that allowance for structural breaks (Perron, 1989, Zivot and Andrews, 1992) in the relevant time–series can provide more accurate tests of the present–value borrowing constraint (Hamilton and Flavin, 1986) by accommodating any changes in the processes generating...

Persistent link: https://www.econbiz.de/10008478750

Economic Forecasting: Some Lessons from Recent Research

Hendry, David; Clements, Michael P. - Department of Economics, Oxford University - 2001

This paper describes some recent advances and contributions to our understanding of economic forecasting. The framework we develop helps explain the findings of forecasting competitions and the prevalence of forecast failure. It constitutes a general theoretical background against which recent...

Persistent link: https://www.econbiz.de/10010605164

The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series

Amsler, Christine; Schmidt, Peter; Vogelsang, Timothy J - In: Journal of Time Series Econometrics 1 (2009) 1

stationarity and under the unit root alternative under the "fixed-b" assumption that the ratio of the number of lags in the long …

Persistent link: https://www.econbiz.de/10014615138

A Note on Testing Covariance Stationarity

Cavaliere, Giuseppe; Taylor, A. M. Robert - In: Econometric Reviews 28 (2009) 4, pp. 364-371

In a recent article, Xiao and Lima (2007) show numerically that the stationarity test of Kwiatkowski et al. (1992) has …-varying volatility. We also propose alternative tests of covariance stationarity which we show to improve upon the power properties of …

Persistent link: https://www.econbiz.de/10005511958

Testing diffusion processes for non-stationarity

Hamrick, Jeff; Taqqu, Murad - In: Mathematical Methods of Operations Research 69 (2009) 3, pp. 509-551

Hochberg (J R Stat Soc Ser B, 59:289–300, 1995), we develop a test for non-stationarity of a one-dimensional diffusion based on …

Persistent link: https://www.econbiz.de/10010950292

ARE OECD MACROECONOMIC VARIABLES TREND STATIONARY? EVIDENCE FROM PANEL STATIONARITY TESTS ALLOWING FOR A STRUCTURAL BREAK AND CROSS-SECTIONAL DEPENDENCE

HADRI, KADDOUR; RAO, YAO - In: The Singapore Economic Review (SER) 54 (2009) 03, pp. 427-440

This article applies the panel stationarity test with a break proposed by Hadri and Rao (2008) to examine whether 14 …, cross-sectional dependence and choose the break models to be congruent with the data, then the null of stationarity cannot …

Persistent link: https://www.econbiz.de/10004964021

Departure from independence and stationarity in a handball match

Dumangane, Montezuma; Rosati, Nicoletta; Volossovitch, Anna - In: Journal of Applied Statistics 36 (2009) 7, pp. 723-741

into account the mutual influence of both playing teams. Non-identical distribution (i.d.) and non-stationarity, which are …

Persistent link: https://www.econbiz.de/10004966821