Search Results - subject:"STATIONARITY"

Cerqueti, Roy; Costantini, Mauro; Gutierrez, Luciano - Dipartimento di Economia, Gestione, Società e … - 2007

the null hypothesis of stationarity against the alternative of a change in persistence from I(0) to I(1) or viceversa …

Persistent link: https://www.econbiz.de/10005583209

Economic Integration and the Foreign Exchange

Weber, Enzo - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

US. Keywords: Monetary Exchange Rate Model, Convergence, Stationarity, Australia JEL classification: F31, F41, C32 1 This … shocks to the price and so can even lead to stationarity of the exchange rate. Such a situation should typically occur in … stochastic trends would cancel out in the diﬀerent pairs of fundamentals and logically could not cause exchange rate non-stationarity …

Persistent link: https://www.econbiz.de/10005678042

Modeling spatial variations in household disposable income with Geographically Weighted Regression

Chasco, Coro; García, Isabel; Vicéns, José - Volkswirtschaftliche Fakultät, … - 2007

The purpose of this paper is to analyze the spatially varying impacts of some classical regressors on per capita household income in Spanish provinces. The authors model this distribution following both a traditional global regression and a local analysis with Geographically Weighted Regression...

Persistent link: https://www.econbiz.de/10005619796

Real Exchange Rate Misalignment: An Application of Behavioral Equilibrium Exchange Rate (BEER) to Nigeria

Shehu Usman Rano, Aliyu - Volkswirtschaftliche Fakultät, … - 2007

This paper seeks to estimate the long run behavioral equilibrium exchange rate in Nigeria. The empirical analysis builds on quarterly data from 1986Q1 to 2006Q4 and derives a Behavioral Equilibrium Exchange Rate (BEER) and a Permanent Equilibrium Exchange Rate (PEER). The econometric analysis...

Persistent link: https://www.econbiz.de/10005621900

NoVaS Transformations: Flexible Inference for Volatility Forecasting

Politis, Dimitris; Thomakos, Dimitrios - Department of Economics, University of Peloponnese - 2007

situations where (global) stationarity fails such as the cases of local stationarity and/or structural breaks; (d) we show how to …

Persistent link: https://www.econbiz.de/10005636110

Convergence to Stochastic Integrals with Non-linear integrands

Nielsen, Bent; Caceres, Carlos - Economics Group, Nuffield College, University of Oxford - 2007

In this paper we present a general result concerning the convergence to stochastic integrals with non-linear integrands. The key finding represents a generalization of Chan and Wei's (1988) Theorem 2.4 and that of Ibragimov and Phillips' (2004) Theorem 8.2. This result is necessary for analysing...

Persistent link: https://www.econbiz.de/10005730272

Imports-Exports Demand Functions and Balance of Payments Stability in Nigeria: A Co-integration and Error Correction Modeling

Shehu Usman Rano, Aliyu - Volkswirtschaftliche Fakultät, … - 2007

employed is an econometric methodology, which encompasses wide a range of tests for stationarity, cointegration and …

Persistent link: https://www.econbiz.de/10005619302

Economic Integration and the Foreign Exchange

Weber, Enzo - Volkswirtschaftliche Fakultät, … - 2007

This paper demonstrates effects of economic convergence processes on the foreign exchange behaviour in a monetary modelling approach. Since the exchange rate represents the relative price of two currencies, commonness of stochastic trends between the fundamental determinants of supply and demand...

Persistent link: https://www.econbiz.de/10005619368

Modelling good and bad volatility

Pelagatti, Matteo - Dipartimento di Statistica, Università degli Studi di … - 2007

and sufficient conditions for weak and strict stationarity are derived. An application to the daily returns on the …

Persistent link: https://www.econbiz.de/10005800561

Central limit theorems for weighted quadratic forms of dependent processes with applications in specification testing

Gao, Jiti; Hong, Yongmiao - Volkswirtschaftliche Fakultät, … - 2007

In this paper, we establish some new central limit theorems for generalized U-statistics of dependent processes under some mild conditions. Such central limit theorems complement existing existing results available from both the econometrics literature and statistics literature. We then look at...

Persistent link: https://www.econbiz.de/10005836931