Search Results - subject:"STATIONARITY"

Phase randomisation: a convergence diagnostic test for MCMC

Wolff, Rodney C; Nur, Darfiana; Mengersen, Kerrie L - School of Economics and Finance, Business School - 2006

Most MCMC users address the convergence problem by applying diagnostic tools to the output produced by running their samplers. Potentially useful diagnostics may be borrowed from diverse areas such as time series. One such method is phase randomisation. The aim of this paper is to describe this...

Persistent link: https://www.econbiz.de/10008694510

Adaptive orthogonal series estimation in additive stochastic regression models

Wolff, Rodney C; Gao, Jiti; Tong, Howell - School of Economics and Finance, Business School - 2006

In this paper, we consider additive stochastic nonparametric regression models. By approximating the nonparametric components by a class of orthogonal series and using a generalized cross-validation criterion, an adaptive and simultaneous estimation procedure for the nonparametric components is...

Persistent link: https://www.econbiz.de/10008694534

Convergences of prices and rates of inflation

Busetti, Fabio; Fabiani, Silvia; Harvey, Andrew - Banca d'Italia - 2006

We consider how unit root and stationarity tests can be used to study the convergence properties of prices and rates of … stationarity tests and whether there is an advantage to adopting a new (Dickey-Fuller) unit root test based on deviations from the … stationarity tests in levels and first differences allows the researcher to distinguish between series that are converging and …

Persistent link: https://www.econbiz.de/10005111570

Time-Varying Quantiles

DeRossi, G.; Harvey, A. - Faculty of Economics, University of Cambridge - 2006

indicator variables; these tests have a similar form to stationarity tests and, under the null hypothesis, their asymptotic …

Persistent link: https://www.econbiz.de/10005113750

On the practice of Bayesian inference in basic economic time series models using Gibbs sampling

Pooter, Michiel de; Segers, Rene; Dijk, Herman K. van - 2006

Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling algorithm are presented. Models include the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root model, the Instrumental Variables model...

Persistent link: https://www.econbiz.de/10011349180

Giffen’s Good: A case of mistaken identification

Brunt, Liam - C.E.P.R. Discussion Papers - 2013

Giffen reported that, in the late nineteenth century, English wheat consumption rose when its price increased – the first recorded “Giffen good”. Using Giffen’s data, I explain how he reached his conclusion. I then show that his analysis was faulty: price elasticity of demand appears...

Persistent link: https://www.econbiz.de/10011084480

Mathematical framework for pseudo-spectra of linear stochastic difference equations

Bujosa, Marcos; Brun, Andrés Bujosa; García-Ferrer, … - Facultad de Ciencias Económicas y Empresariales, … - 2013

Although spectral analysis of stationary stochastic processes has solid mathematical foundations, this is not always so for some non-stationary cases. Here, we establish a rigorous mathematical extension of the classic Fourier spectrum to the case in which there are AR roots in the unit circle,...

Persistent link: https://www.econbiz.de/10011085404

Solar irradiance forecasting using spatial-temporal covariance structures and time-forward kriging

Yang, Dazhi; Gu, Chaojun; Dong, Zibo; Jirutitijaroen, Panida - In: Renewable Energy 60 (2013) C, pp. 235-245

Electricity power grid operations require information about demand and supply on a variety of timescales and areas. The advent of significant generation contributions by time variable renewable energy sources means that forecasting methods are increasingly required. Some of the earliest...

Persistent link: https://www.econbiz.de/10010804469

Short-term solar irradiance forecasting using exponential smoothing state space model

Dong, Zibo; Yang, Dazhi; Reindl, Thomas; Walsh, Wilfred M. - In: Energy 55 (2013) C, pp. 1104-1113

performance with other popular trend models using residual analysis and the Kwiatkowski-Phillips-Schmidt-Shin (KPSS) stationarity …

Persistent link: https://www.econbiz.de/10010809715

Some Recent Developments in Nonparametric Finance

Cai, Zongwu; Hong, Yongmiao - 2013

This paper gives a selective review on some recent developments of nonparametric methods in both continuous and discrete time finance, particularly in the areas of nonparametric estimation and testing of diffusion processes, nonparametric testing of parametric diffusion models, nonparametric...

Persistent link: https://www.econbiz.de/10010892084