Search Results - subject:"STATIONARITY"

PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-sectional Dependency and Structural Breaks

Holmes, Mark J.; Otero, Jesús; Panagiotidis, Theodore - 2011

The stationarity of OECD real exchange rates over the period 1972-2008 is tested using a panel of twenty six member … (2008) panel stationarity test. The real exchange rates of the twenty six OECD countries are found to be stationary when …

Persistent link: https://www.econbiz.de/10010500197

Asymptotic Theory of General Multivariate GARCH Models

Jiang, Weibin - 2011

Generalized autoregressive conditional heteroscedasticity (GARCH) models are widely used in financial markets. Parameters of GARCH models are usually estimated by the quasi-maximum likelihood estimator (QMLE). In recent years, economic theory often implies equilibrium between the levels of time...

Persistent link: https://www.econbiz.de/10009447285

Purchasing Power Parity Influence on Real Exchange Rate Behavior in Romania

Ghiba, Nicolae - In: CES Working Papers 3 (2011) 4, pp. 524-536

-Fuller and Phillips-Perron stationarity tests in order to check real exchange deviations from PPP. Also, we investigate the … euro area. The main conclusions of this research highlight that PPP doesn’t holds; real exchange rate stationarity tests … doest not confirm the stationarity, thus between the aforementioned three variables it doesn’t exists any equilibrium …

Persistent link: https://www.econbiz.de/10012016973

Best linear unbiased estimate using buys-ballot procedure when trend-cycle component is linear

Iwueze, Iheanyi S.; Nwogu, Eleazar C.; Ajaraogu, Jude C. - In: CBN Journal of Applied Statistics 02 (2011) 1, pp. 15-30

the CBE variates exhibit stationarity, Best Linear unbiased estimators of the slope and intercept were derived. Numerical …

Persistent link: https://www.econbiz.de/10011482553

The long-run behaviour of the terms of trade between primary commodities and manufactures: A panel data approach

Otero, Jesús; Iregui, Ana María - 2011

This study examines the Prebisch and Singer hypothesis using a panel of 24 commodity prices from 1900 to 2010. The modelling approach stems from the need to meet two key concerns: (1) the presence of cross-sectional dependence among commodity prices; and (2) the identification of potential...

Persistent link: https://www.econbiz.de/10010280239

Re-examining CO2 emissions. Is the assessment of convergence meaningless?

Camarero, Mariam; Mendoza, Yurena; Ordoñez, Javier … - Departament d'Economia, Universitat Jaume I - 2011

This paper re-examines CO2 emissions in 22 OECD countries over the period 1870–2006. It contributes to the field of environmental economics trying to clarify the possible sources of the mixed evidence on CO2 emissions convergence. To this end we employ a detailed methodological strategy. First...

Persistent link: https://www.econbiz.de/10010773003

Estimation of fractional integration under temporal aggregation

Hassler, Uwe - HAL - 2011

A result characterizing the effect of temporal aggregation in the frequency domain is known for arbitrary stationary processes and generalized for difference-stationary processes here. Temporal aggregation includes cumulation of flow variables as well as systematic (or skip) sampling of stock...

Persistent link: https://www.econbiz.de/10010898753

Estimation of fractional integration under temporal aggregation

Hassler, Uwe - HAL - 2011

Persistent link: https://www.econbiz.de/10010898838

Dynamic linear economies with social interactions

ÖZGÜR, Onur; BISIN, Alberto - Département de Sciences Économiques, Université de … - 2011

Social interactions arguably provide a rationale for several important phenomena, from smoking and other risky behavior in teens to e.g., peer effects in school performance. We study social interactions in dynamic economies. For these economies, we provide existence (Markov Perfect Equilibrium...

Persistent link: https://www.econbiz.de/10010933671

FORECASTING THE MARKET CAPITAL OF DHAKA STOCK EXCHANGE IN BANGLADESH: A COMPARATIVE STUDY OF GARCH AND ARIMA MODELS

Mina Mahbub Hossain Author_Email: mahbubfhisrt@gmail.com; … - 2011

Persistent link: https://www.econbiz.de/10010535833