Search Results - subject:"STATIONARITY"

On the stationarity of Japanese-yen based purchasing power parity in the presence of the structural breaks

Kozuka, Masafumi - In: Economics Bulletin 30 (2010) 1, pp. 1-9

In this paper we perform the stationarity test on the Japanese-yen based real exchange rate of major trade partners of …

Persistent link: https://www.econbiz.de/10008562956

Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH

Caporin, M.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2010

DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. Analytical expressions for the news impact surface implied by the new model are also presented....

Persistent link: https://www.econbiz.de/10008570640

Are Real Exchange Rates Nonlinear with a Unit Root? Evidence on Purchasing Power Parity for China: A Note

Chang, Tsangyao; Lin, Su-yuan; Chang, Horng-jinh - In: Economics Bulletin 30 (2010) 3, pp. 1897-1905

and stationarity of China's real exchange rate vis-à-vis her 9 trading partner countries over the period of January 1986 …

Persistent link: https://www.econbiz.de/10008596627

Forecasting model of small scale industrial sector of West Bengal

Bera, Soumitra Kumar - Volkswirtschaftliche Fakultät, … - 2010

This study seeks to generate the forecasts for the small scale industrial sector of West Bengal for the ensuing decade till 2019-20. Forecasts have been generated for production, direct employment, capital formation and number of units in this sector. Auto Regressive Integrated Moving Average...

Persistent link: https://www.econbiz.de/10008805899

Persistence of Inflationary shocks: Implications for West African Monetary Union Membership

ALAGIDEDE, PAUL; Coleman, Simeon; Cuestas, Juan Carlos - Department of Economics, University of Stirling - 2010

Plans are far advanced to form a second monetary union, the West African Monetary Zone (WAMZ), in Africa. While much attention is being placed on convergence criteria and preparedness of the five aspiring member states, less attention is being placed on how the dynamics of inflation in...

Persistent link: https://www.econbiz.de/10008831616

Semiparametric Estimation of Locally Stationary Diffusion Models

Koo, Bonsoo; Linton, Oliver - Suntory and Toyota International Centres for Economics … - 2010

This paper proposes a class of locally stationary diffusion processes. The modelhas a time varying but locally linear drift and a volatility coefficient that is allowed tovary over time and space. We propose estimators of all the unknown quantitiesbased on long span data. Our estimation method...

Persistent link: https://www.econbiz.de/10008838719

A KPSS better than KPSS. Rank tests for short memory stationarity

Pelagatti, Matteo; Sen, Pranab - Dipartimento di Statistica, Università degli Studi di … - 2010

We propose a rank-test of the null hypothesis of short memory stationarity possibly after linear detrending. For the … level-stationarity hypothesis, the test statistic we propose is a modified version of the popular KPSS statistic, in which … the standard KPSS statistic under the null and diverges under I(1) alternatives. For the trend-stationarity hypothesis, we …

Persistent link: https://www.econbiz.de/10008839542

Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

Caporin, Massimiliano; McAleer, Michael - Institute of Economic Research, Kyoto University - 2010

Persistent link: https://www.econbiz.de/10008739242

External imbalances in a monetary union. Does the Lawson doctrine apply to Europe?

Camarero, Mariam; Carrion-i-Silvestre, Josep Lluís; … - Departament d'Estructura Econòmica, Facultad de Economía - 2010

A monetary union raises new economic questions about the interpretation and the implications of high current account de?cits for the economic performance of its members in the medium term. Recent literature has argued that conventional measures of external sustainability are misleading because...

Persistent link: https://www.econbiz.de/10008751286

Trends in International Prices

Andrade, Philippe; Zachariadis, Marios - University of Cyprus Department of Economics - 2010

of the data to total variation and to disentangle the sources of potential non-stationarity. It also allows us to …

Persistent link: https://www.econbiz.de/10008752920