Search Results - subject:"STATIONARITY"

The variance of an integrated process need not diverge to infinity

Leeb, Hannes; Poetscher, Benedikt - EconWPA - 1999

For a process with stationary first differences necessary and sufficient conditions for the variance of the process to be unbounded are given. An example shows that the variance of an integrated process -- while being unbounded -- need not diverge to infinity. Sufficient conditions for the...

Persistent link: https://www.econbiz.de/10005407936

Stationarity tests for financial time series

Gimeno, Ricardo; Manchado, Benjamı́n; Mı́nguez, Román - In: Physica A: Statistical Mechanics and its Applications 269 (1999) 1, pp. 72-78

most of time series analysis in economics and finance are based on the stationarity hypothesis. In the paper we present the … most common tests for the null hypothesis of stationarity, and apply them to study the order of integration in a Spanish …

Persistent link: https://www.econbiz.de/10011063451

LM tests for unit roots in the presence of missing observations: small sample evidence1Earlier versions of this paper were presented at the European Meeting of the Econometric Society, Toulouse, August 1997, and the International Congress on Modelling and Simulation MODSIM97, University of Tasmania, December 1997.1

Toda, Hiro Y.; McKenzie, C.R. - In: Mathematics and Computers in Simulation (MATCOM) 48 (1999) 4, pp. 457-468

hypotheses are considered: a unit root without drift versus level stationarity, and a unit root with drift versus trend … stationarity. Modifications of the tests to account for serially correlated errors are suggested. The small sample size and power …

Persistent link: https://www.econbiz.de/10010749222

Detecting self-organisational change in economic processes exhibiting logistic growth

Foster, John; Wild, Phillip - In: Journal of Evolutionary Economics 9 (1999) 1, pp. 109-133

This paper offers an econometric methodology for the detection of self-organisational change (defined in terms of the presence of time irreversibility, structural change and fundamental uncertainty) in economic processes that follow logistic diffusion growth paths in historical time. The...

Persistent link: https://www.econbiz.de/10005622490

Bargaining with asymmetric information in non-stationary markets

Trefler, Daniel - In: Economic Theory 13 (1999) 3, pp. 577-601

and non-stationarity. Non-stationarity is introduced in the form of an arbitrary stochastic Markov process which captures …

Persistent link: https://www.econbiz.de/10005155364

Comment on fitting MA time series by structural equation models

Molenaar, Peter - In: Psychometrika 64 (1999) 1, pp. 91-94

Persistent link: https://www.econbiz.de/10005184094

Anxiety and Decision Making with Delayed Resolution of Uncertainty

Wu, George - In: Theory and Decision 46 (1999) 2, pp. 159-199

Persistent link: https://www.econbiz.de/10009403160

Investment and arbitrage opportunities with short sales constraints

Jouini, Elyès; Carassus, Laurence - Université Paris-Dauphine (Paris IX) - 1998

stationarity—that is, projects available today are the same as those available in the past. In this framework, we prove that the …

Persistent link: https://www.econbiz.de/10011073130

Deviations of Exchange Rates from Purchasing Power Parity: A Story Featuring Two Monetary Unions

Bayoumi, Tamim; MacDonald, Ronald - C.E.P.R. Discussion Papers - 1998

We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group are...

Persistent link: https://www.econbiz.de/10005666879

La non stationnarité dans les séries saisonnières : Application au tourisme tunisien

PICHERY, Marie-Claude; OUERFELLI, Chokri - Laboratoire d'Économie de Dijon (LEDI), Université de … - 1998

L'objectif est de spécifier la nature des comportements saisonniers de la demande de séjours touristiques en Tunisie en utilisant les outils récents d'analyse des séries temporelles mensuelles. Les séries disponibles (dépenses touristiques, prix, revenus, nombre de nuitées, capacités...

Persistent link: https://www.econbiz.de/10005579069