Search Results - subject:"STATIONARITY"

Testing Stationarity of Budgetary Position in Developing Countries

Lau, Evan; Baharumshah, Ahmad Zubaidi; Mansor, Shazali Abu - In: International Econometric Review (IER) 1 (2009) 2, pp. 77-87

In this paper, we examine stationarity properties of data on budget deficits for a cluster of twenty-seven developing … favors stationarity. This in turn suggests that budgets deficits in our sample of countries are sustainable, an important …

Persistent link: https://www.econbiz.de/10009195490

A Gaussian Test for Cointegration

Abeysinghe, Tilak; Rajaguru, Gulasekaran - East Asian Bureau of Economic Research (EABER) - 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/10009365337

Efficient Estimation of a Multivariate Multiplicative Volatility Model

Hafner, Christian M.; Linton, Oliver - Suntory and Toyota International Centres for Economics … - 2009

We propose a multivariate generalization of the multiplicative volatility model ofEngle and Rangel (2008), which has a nonparametric long run component and aunit multivariate GARCH short run dynamic component. We suggest variouskernel-based estimation procedures for the parametric and...

Persistent link: https://www.econbiz.de/10008838734

Stationarity of time series and the problem of spurious regression

Baumöhl, Eduard; Lyócsa, Štefan - Volkswirtschaftliche Fakultät, … - 2009

The goal of this paper was to introduce some general issues of non-stationarity for practitioners, students and …

Persistent link: https://www.econbiz.de/10008784968

A robust version of the KPSS test based on ranks

Pelagatti, Matteo; Sen, Pranab - Dipartimento di Statistica, Università degli Studi di … - 2009

This paper proposes a test of the null hypothesis of stationarity that is robust to the presence of fat-tailed errors …

Persistent link: https://www.econbiz.de/10008634613

Regresión espuria en especificaciones dinámicas.

Zaldivar, Manuel Gómez; Castro, Oscar Manjarrez; … - In: Ensayos Revista de Economia XXVIII (2009) 1, pp. 1-20

stationarity, broken-trend stationarity,… However, the phenomenon has been solely studied under the assumption that the …

Persistent link: https://www.econbiz.de/10009141609

Determination of stochastic vs. deterministic trend in quarterly GDP of Pakistan

Khan, Zahid; Asghar, Zahid - Volkswirtschaftliche Fakultät, … - 2009

Many economic and financial time series show evidence of trending behavior or non stationarity in the mean. An …

Persistent link: https://www.econbiz.de/10008470452

On the dynamics of inflation persistence around the world

Noriega, Antonio E.; Ramos-Francia, Manuel - 2009

We study the dynamics of inflation persistence in 45 countries for the period 1960-2008. We use a nonparametric unit root test robust to nonlinearities, error distributions, structural breaks and outliers, many of them typical features of inflation data, and a test for multiple changes in...

Persistent link: https://www.econbiz.de/10010322567

Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

Caporin, Massimiliano; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2009

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/10005115605

Testing for strict stationarity in financial variables

Kapetanios, George - In: Journal of Banking & Finance 33 (2009) 12, pp. 2346-2362

This paper considers the stationarity properties of a variety of financial variables using statistical tests for strict … stationarity. We find that there has been a gradual shift in unconditional variances for the variables examined during the 90's and … 2000's and that this is the main cause of the widespread rejection of the strict stationarity null hypothesis. This is a …

Persistent link: https://www.econbiz.de/10008484646