Search Results - subject:"STATIONARITY"

The quest for a fiscal rule: Italy, 1861-1998

Ricciuti, Roberto - Institute of Public Policy and Public Choice - POLIS - 2007

The Italian fiscal history is characterised by a number of fiscal consolidations. In this paper we characterise fiscal policy in terms of non-linear deterministic processes. We find that government spending and taxes can be described as being non-linear trend stationary processes instead of unit...

Persistent link: https://www.econbiz.de/10005135329

Analysis of the relationships between indexes on Polish and American Stock Exchange

Przekota, Grzegorz - In: Operations Research and Decisions 3-4 (2007), pp. 133-145

For research purposes, in order to show relationships between values of American S&P500 index and Polish WIG index, two models have been constructed. Because of the volume of the American Stock Exchange, the analysis should answer the question of “how the situation on American Stock Exchange...

Persistent link: https://www.econbiz.de/10008777177

Convergence to Stochastic Integrals with Non-linear Integrands

Nielsen, Bent; Caceres, Carlos - Department of Economics, Oxford University - 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...

Persistent link: https://www.econbiz.de/10010605152

A Time Series Model for the Romanian Stock Market

Thalassinos, Eleftherios; Pociovalisteanu, Diana-Mihaela - In: European Research Studies Journal X (2007) 3-4, pp. 57-72

The purpose of this study is to investigate the performance of the Romanian stock market using daily data for the period 1997-2007. During this period the European Union finalized many of its operational issues and EMU was put into effect. Additionally globalization brought increased attention...

Persistent link: https://www.econbiz.de/10008475674

Testing for trend

Busetti, Fabio; Harvey, Andrew - Banca d'Italia - 2007

Monte Carlo results, we compare the t-test with the nonparametric tests of Vogelsang (1998) and with a modified stationarity …

Persistent link: https://www.econbiz.de/10005113529

Tests of time-invariance

Busettti, F.; Harvey, A. - Faculty of Economics, University of Cambridge - 2007

time using signal extraction methods can be informative. It is shown here how stationarity tests can be generalized to test …

Persistent link: https://www.econbiz.de/10005113854

Tests of time-invariance

Busettti, F.; Harvey, A. - Faculty of Economics, University of Cambridge - 2007

time using signal extraction methods can be informative. It is shown here how stationarity tests can be generalized to test …

Persistent link: https://www.econbiz.de/10005113892

Global and local stationary modelling in finance : theory and empirical evidence.

Guégan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007

In this paper we deal with the problem of non-stationarity encountered in a lot of data sets coming from existence of …

Persistent link: https://www.econbiz.de/10005670891

Testing for Strict Stationarity

Kapetanios, George - School of Economics and Finance, Queen Mary - 2007

econometrics. A number of tests have been developed and used to explore the stationarity properties of various processes. Most of … stationarity. We propose a new test for strict stationarity, that considers the whole distribution of the process rather than just …

Persistent link: https://www.econbiz.de/10005106349

Simple, Robust and Powerful Tests of the Breaking TrendHypothesis

Harvey, David; Leybourne, Stephen J.; Taylor, A. M. Robert - University <Nottingham> / Department of Economics - 2006

practical usefulness of our proposed tests. Keywords: Broken trend; power envelope; unit root; stationarity tests. JEL Classi …-modelled trend breaks also cause spurious rejections in stationarity tests, such as that of Kwiatkowski et al. (1990)[KPSS, hereafter … tests on the parameters of the trend function and unit root/stationarity tests, as might also be expected in the light of …

Persistent link: https://www.econbiz.de/10005868622