Search Results - subject:"STATIONARITY"

Stationarity tests under time-varying second moments

Cavaliere, Giuseppe; Taylor, Robert - In: Econometric theory 21 (2005) 6, pp. 1112-1129

Persistent link: https://www.econbiz.de/10003193565

The statistical evolution of prices on the Istanbul stock exchange

Odabasl, Attila; Asku, Celal; Akgiray, Vedat - In: The European Journal of Finance 10 (2004) 6, pp. 510-525

This study documents the statistical properties of the stock returns on the Istanbul Stock Exchange (ISE) for the January 1988 to December 1999 period and tries to assess the evolution of the underlying stochastic structure over this time period. It also investigates empirically the relative...

Persistent link: https://www.econbiz.de/10005471952

Quantifying Structural Change in U.S. Agriculture: The Case of Research and Productivity

Oehmke, James; Schimmelpfennig, David - In: Journal of Productivity Analysis 21 (2004) 3, pp. 297-315

Previous work on structural change in agriculture has failed to distinguish long-run trends from structural breaks leading to new trends. We measure structural changes as statistically significant breaks in either stochastic or deterministic time trends, and apply these measures to agricultural...

Persistent link: https://www.econbiz.de/10010865958

Nonparametric estimation under length-biased sampling and Type I censoring: A moment based approach

Uña-álvarez, Jacobo - In: Annals of the Institute of Statistical Mathematics 56 (2004) 4, pp. 667-681

Persistent link: https://www.econbiz.de/10005760251

Dynamics of real effective exchange rate in Malawi and South Africa

Simwaka, Kisukyabo - EconWPA - 2004

in both Malawi and South Africa. Key words: real effective exchange rate, stationarity, cointegration …

Persistent link: https://www.econbiz.de/10005556421

Changes of structure in financial time series and the GARCH model

Mikosch, Thomas; Starica, Catalin - EconWPA - 2004

In this paper we propose a goodness of fit test that checks the resemblance of the spectral density of a GARCH process to that of the log-returns. The asymptotic behavior of the test statistics are given by a functional central limit theorem for the integrated periodogram of the data. A...

Persistent link: https://www.econbiz.de/10005119079

When did the 2001 recession really start?

Polzehl, J.; Spokoiny, V.; Starica, C. - EconWPA - 2004

The paper develops a non-parametric, non-stationary framework for business-cycle dating based on an innovative statistical methodology known as Adaptive Weights Smoothing (AWS). The methodology is used both for the study of the individual macroeconomic time series relevant to the dating of the...

Persistent link: https://www.econbiz.de/10005119086

Learning the Shape of the Likelihood of Typical Econometric Models using Gibbs Sampling

Pooter, Michiel D. de; Segers, Rengert - Society for Computational Economics - SCE - 2004

The shape of the likelihood of several recently developed econometric models is often non-elliptical. Learning this shape using Gibbs sampling is discussed in this paper. A systematic analysis using graphical and computational methods is presented. Examples of the models considered in this paper...

Persistent link: https://www.econbiz.de/10005345329

Current Account Sustainability in the US: What Do We Really Know About It?

Christopoulos, Dimitris K.; León-Ledesma, Miguel - School of Economics, University of Kent - 2004

-linear behaviour under the null of stationarity. This is confirmed by a set of non-linearity tests. We then fit an ESTAR model to the … current account dynamics and reject the null of non-stationarity. Hence, we conclude in favour of sustainability. Furthermore …

Persistent link: https://www.econbiz.de/10005170021

Testing for Stationarity in Panel Data Models when Disturbances are Cross-Sectionally Correlated

Jönsson, Kristian - Nationalekonomiska Institutionen, Ekonomihögskolan - 2004

data stationarity test. We find that the previously suggested test has a serious size distortion if the disturbances to … stationarity. However, the test procedure that we suggest is robust against the presence of cross-sectional disturbance correlation … can occur when neglecting to account for cross-sectional correlation when testing for stationarity in panel data models. …

Persistent link: https://www.econbiz.de/10005207003