Search Results - subject:"STATIONARITY"

Concepts and tools for nonlinear time series modelling

Amendola, Alessandra; Christian, Francq - Volkswirtschaftliche Fakultät, … - 2009

Tools and approaches are provided for nonlinear time series modelling in econometrics. A wide range of topics is covered, including probabilistic properties, statistical inference and computational methods. The focus is on the applications but the ideas of the mathematical arguments are also...

Persistent link: https://www.econbiz.de/10005078684

A Meta-Distribution for Non-Stationary Samples

Guégan, Dominique - School of Economics and Management, University of Aarhus - 2009

. After discussing some specific problems encountered by non-stationarity inside samples like the "spurious" long memory … distribution function associated to a non-stationary sample. After discussing some specific problems encountered by non-stationarity … econometric issues in a non-stationary setting, namely forecasting and risk management strategy. Keywords: Non-Stationarity …

Persistent link: https://www.econbiz.de/10005025509

Auction Design without Commitment

Vartiainen, Hannu - Turun Kauppakorkeakoulu, Turun Yliopisto - 2009

We study auction design when parties cannot commit to the mechanism. The seller may change the rules of the game any number of times and the buyers may choose their outside option at any stage of the game. A dynamic consistency condition and an optimality condition property are defined to...

Persistent link: https://www.econbiz.de/10005706069

ARE EU BUDGET DEFICITS STATIONARY?

Holmes, Mark J.; Otero, Jesús; Panagiotidis, Theodore - Rimini Centre for Economic Analysis (RCEA) - 2009

In this paper, we test for the stationarity of European Union budget deficits over the period 1971 to 2006, using a …-based bootstrap approach that allows us to test the null hypothesis of joint stationarity with endogenously determined structural … stationarity over the full sample period irrespective of us allowing for structural breaks. This conclusion also holds when …

Persistent link: https://www.econbiz.de/10008498048

How do you make a time series sing like a choir? Using the Hilbert-Huang transform to extract embedded frequencies from economic or financial time series

Crowley, Patrick M - Suomen Pankki - 2009

using an adaptive data method that can be applied without making any assumptions about stationarity or linear data …

Persistent link: https://www.econbiz.de/10008509432

New panel tests to assess inflation persistence

Cerqueti, Roy; Costantini, Mauro; Gutierrez, Luciano - Dipartimento di Istituzioni Economiche e Finanziarie, … - 2009

persistence. The test statisticsare used to test the null hypothesis of stationarity against the alternative of a change …

Persistent link: https://www.econbiz.de/10008479202

A Gaussian Test for Cointegration

Rajaguru, Gulasekaran; Abeysinghe, Tilak - Department of Economics, National University of Singapore - 2009

We use a mixed-frequency regression technique to develop a test for cointegration under the null of stationarity of the …

Persistent link: https://www.econbiz.de/10008493490

Exchange Rate Mean Reversion within a Target Zone: Evidence from a Country on the Periphery of the ERM

Duarte, António Portugal; Andrade, João Sousa; … - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2009

in the Portuguese exchange rate shows that most of the traditional unit root and stationarity tests point to the …

Persistent link: https://www.econbiz.de/10008496471

Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model

Gürtler, Marc; Rauh, Ronald - Department Wirtschaftswissenschaften, Technische … - 2009

A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics are modelled both exogenously and deterministic, captured by a nonparametric curve estimation on equidistant centered returns. We prove consistency and asymptotic normality of a...

Persistent link: https://www.econbiz.de/10009646422

A non-stationary approach for financial returns with nonparametric heteroscedasticity

Gürtler, Marc; Kreiss, Jens-Peter; Rauh, Ronald - Department Wirtschaftswissenschaften, Technische … - 2009

Persistent link: https://www.econbiz.de/10009646426