Search Results - subject:"STATIONARITY"

Comportamiento en muestra finita de los contrastes de integracion estacional para datos mensuales

Sanso, Andreu; Ortuno, Manuel Artis; Caralt, Jordi Surinach - Facultat d'Economia i Empresa, Universitat de Barcelona - 1998

In this paper we carry out a broad simulation experiment where the finite sample behaviour of two parametric seasonal unit root tests for monthly data is studied. In concrete, we analyse the performance of both the Franses (1991) and Canova and Hansesn (1995) procedures. We point out, among...

Persistent link: https://www.econbiz.de/10005138830

Strategic and tactical asset allocation and the effect of long-run equilibrium relations

Lucas, Andr‚ - VU University Amsterdam, Faculty of Economics, Business … - 1997

This article focuses on the relevance of long-term equilibrium relations for financial decision making. Special attention is devoted to optimal asset allocation in the presence of possibly cointegrated time-series, e.g., asset prices. Using a stylized asset allocation problem, the link is...

Persistent link: https://www.econbiz.de/10005150509

Trend-Stationarity in the I(2) Cointegration Model.

Jørgensen, Clara; Kongsted, Hans Christian; Rahbek, Anders - Økonomisk Institut, Københavns Universitet - 1996

A representation for I(2) processes is derived which allows for trend-stationary components and restricts the deterministic part of the process to be at most linear. A two-step statistical analysis of the model is derived. The joint test of I(1) and I(2) cointegrating ranks is shown to be...

Persistent link: https://www.econbiz.de/10005749577

Provision of health care services in Austria

Radosch, Ulrike - In: Empirica 23 (1996) 2, pp. 191-206

Persistent link: https://www.econbiz.de/10008926207

Rational Belief Structures and Rational Belief Equilibrium

Nielsen, Carsten Krabbe - Økonomisk Institut, Københavns Universitet - 1995

The paper introduces some simplifying tools and methods for studying Rational Beliefs and for proving existence of Rational Belief Equilibria: We identify a set of stable non-stationary stochastic processes, named SIDS processes. Furthermore we introduce the concept of a Rational Belief...

Persistent link: https://www.econbiz.de/10005543473

Bayesian Analysis of Long Memory and Persistence using ARFIMA Models

Koop, Gary; Ley, Eduardo; Osiewalski, Jacek; Steel, … - EconWPA - 1995

This paper provides a Bayesian analysis of Autoregressive Fractionally Integrated Moving Average (ARFIMA) models. We discuss in detail inference on impulse responses, and show how Bayesian methods can be used to (i) test ARFIMA models against ARIMA alternatives, and (ii) take model uncertainty...

Persistent link: https://www.econbiz.de/10005062558

On time- and cycle-stationarity

Thorisson, Hermann - In: Stochastic Processes and their Applications 55 (1995) 2, pp. 183-209

Consider processes split into cycles by a sequence of random times (called points). The standard Palm relationship between stationary processes with cycles and processes with stationary cycles is produced in two transparent steps: length-biasing and re-centring. It has the following standard...

Persistent link: https://www.econbiz.de/10008872638

Empirical Generalizations About Market Evolution and Stationarity

Dekimpe, Marnik G.; Hanssens, Dominique M. - In: Marketing Science 14 (1995) 3_supplement, pp. 109-109

available data. We present a database of over 400 prior analyses and catalog the relative incidence of stationarity versus … marketing-mix spending, but that stationarity is the dominant characteristic for market share. Thus we find strong support for … of finding stationarity/evolution in sales and market share, and discuss the managerial implications of our findings. …

Persistent link: https://www.econbiz.de/10009144067

Chapter 9 Terrorism: Theory and applications

Enders, Walter; Sandler, Todd - In: Handbook of defense economics : volume 1, (pp. 213-249). 1995

This chapter reviews game-theoretic and choice-theoretic depictions of terrorist behavior. A simple game-theoretic framework is presented to ascertain under what circumstances a government would want to precommit itself to a no-negotiation strategy. In another game model, we analyze whether two...

Persistent link: https://www.econbiz.de/10014024422

Time series behavior of the short-term real interest rates in industrial countries

Zhou, Su - College of Business, University of Texas-San Antonio

nonstationarity in favor of the alternative of linear stationarity for short-term real interest rates (RIRs) of non …

Persistent link: https://www.econbiz.de/10005036741