Search Results - subject:"STATIONARITY"

Xiao, Zhijie; Lima, Luiz Renato - In: Econometric Reviews 26 (2007) 6, pp. 643-667

In this paper, we show that the widely used stationarity tests such as the Kwiatkowski Phillips, Schmidt, and Shin … power comparing to the existing tests; (iii) the proposed test has the same size as traditional stationarity tests under the … null hypothesis of stationarity. An application to daily observations of return on U.S. Dollar/Euro exchange rate reveals …

Persistent link: https://www.econbiz.de/10005511917

On The Sustainability of the EU’s Current Account Deficits.

Holmes, Mark J.; Otero, Jesus; Panagiotidis, Theodore - School of Business and Economics, Loughborough University - 2007

In this paper, we test for the stationarity of EU current account deficits. Our testing strategy addresses two key …

Persistent link: https://www.econbiz.de/10005422984

Are EU budget deficits sustainable?

Holmes, Mark J.; Otero, Jesus; Panagiotidis, Theodore - School of Business and Economics, Loughborough University - 2007

In this paper, we test for the stationarity and sustainability of European Union budget deficits over the period 1971 …-sectional dependence. We employ a moving block bootstrap approach to the Hadri (2000) procedure that tests the null of joint stationarity …

Persistent link: https://www.econbiz.de/10005423015

Asymptotic normality of the Nadaraya–Watson semivariogram estimators

García-Soidán, Pilar - In: TEST: An Official Journal of the Spanish Society of … 16 (2007) 3, pp. 479-503

Persistent link: https://www.econbiz.de/10005390559

Random, but not so much a parameterization for the returns and correlation matrix of financial time series

Martins, André C.R. - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 2, pp. 527-532

financial time series and its properties are studied. This parameterization allows easy introduction of non-stationarity and it …

Persistent link: https://www.econbiz.de/10010871671

Nonlinear Trends and Co-trending in Canadian Money Demand

Cushman, David - In: Studies in Nonlinear Dynamics & Econometrics 6 (2007) 1, pp. 1003-1003

with drift (constant, linear, or nonlinear) can be rejected in favor of nonlinear trend stationarity for the variables …

Persistent link: https://www.econbiz.de/10004966220

A Test for Serial Dependence Using Neural Networks

Kapetanios, George - School of Economics and Finance, Queen Mary - 2007

Testing serial dependence is central to much of time series econometrics. A number of tests that have been developed and used to explore the dependence properties of various processes. This paper builds on recent work on nonparametric tests of independence. We consider a fact that characterises...

Persistent link: https://www.econbiz.de/10005106326

Validation and Discovery in Markov Models of Genetics Data

Gruttola, Victor De; Foulkes, Andrea - In: Statistical Applications in Genetics and Molecular Biology 3 (2007) 1, pp. 38-38

Markov models provide a natural framework for modeling cellular and molecular level changes over time. Kalbfleisch and Lawless propose using a Chi-squared statistic for assessing the appropriateness of assuming a first-order, homogeneous Markov process. While this statistic provides a global...

Persistent link: https://www.econbiz.de/10005585063

Asymptotic Null Distributions of Stationarity and Nonstationarity Tests Under Local-to-finite Variance Errors

Cappuccio, Nunzio; Lubian, Diego - In: Annals of the Institute of Statistical Mathematics 59 (2007) 3, pp. 403-423

Persistent link: https://www.econbiz.de/10005616446

Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules

Basu, Deepankar; Jong, Robert de - In: Studies in Nonlinear Dynamics & Econometrics 11 (2007) 4, pp. 1507-1507

We present a novel specification of a dynamic multinomial ordered choice model, where the latent variable is a function of strictly stationary exogenous variables and lags of the choice variable. We prove that such a model with weakly dependent errors will have a strictly stationary solution...

Persistent link: https://www.econbiz.de/10005751377