Search Results - subject:"STATIONARITY"

A continuous time GARCH process driven by a Levy process: stationarity and second order behaviour

Klüppelberg, Claudia; Lindner, Alexander M.; Maller, Ross - 2005

discrete time GARCH processes, and is amenable to further analysis, possessing useful Markovian and stationarity properties. …

Persistent link: https://www.econbiz.de/10010275680

Vector Error-Correction Models in a consumer packaged goods category forecasting decision support system

Zhong, MS; Pick, RA; Klein, G; Jiang, JJ - 2005

A framework for developing marketing category management decision support systems (DSS) based upon the Bayesian Vector Autoregressive (BVAR) model is extended. Since the BVAR model is vulnerable to permanent and temporary shifts in purchasing patterns over time, a form that can correct for the...

Persistent link: https://www.econbiz.de/10009448786

Testing for Stationarity in Panel Data when Errors are Serially Correlated. Finite-Sample Results

Jönsson, Kristian - 2005

In this paper, we study the small sample properties of the panel data stationarity test of Hadri (2000). We find that … the previously suggested moments, that are to be used when standardizing the panel data stationarity test, cause size … standardizing moments that are to be used in a panel data stationarity test when samples are small and serial correlation in the …

Persistent link: https://www.econbiz.de/10013208476

A necessary and sufficient condition for the strict stationarity of a family of GARCH processes

Meitz, Mika - 2005

We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a). This family contains various popular GARCH models as special cases. A necessary and sufficient condition for the existence of a strictly stationary solution is given.

Persistent link: https://www.econbiz.de/10010281442

Estimating deterministically time-varying variances in regression models

Kapetanios, George - 2005

The problem of structural change justifiably attracts considerable attention in econometrics. A number of different paradigms have been adopted ranging from structural breaks which are sudden and rare to time varying coefficient models which exhibit structural change more frequently and...

Persistent link: https://www.econbiz.de/10010284107

The causal relationship between ICT and FDI

Gholami, Roghieh; Lee, Sang-Yong Tom; Heshmati, Almas - 2005

This paper investigates the simultaneous causal relationship between investments in information and communication technology (ICT) and flows of foreign direct investment (FDI), with reference to its implications on economic growth. For the empirical analysis we use data from 23 major countries...

Persistent link: https://www.econbiz.de/10010284809

Tests for deterministic parametric structural change in regression models

Kapetanios, George - 2005

The problem of structural change justifiably attracts considerable attention in econometrics. A number of different paradigms have been adopted ranging from structural breaks which are sudden and rare to time-varying coefficient models which exhibit structural change more frequently and...

Persistent link: https://www.econbiz.de/10010289037

Induced Technological Change in Canadian Agriculture Field Crops - Canola and Wheat: 1926-2003

Mupondwa, Edmund K. - Agricultural and Applied Economics Association - AAEA - 2005

A tractable two-stage constant elasticity of substitution (CES) production function is applied to disaggregated western Canadian wheat and canola data for 1926-2003 to investigate the induced innovation hypothesis. Time series properties of the data are analyzed using cointegration and error...

Persistent link: https://www.econbiz.de/10005477002

A necessary and sufficient condition for the strict stationarity of a family of GARCH processes

Meitz, Mika - Economics Institute for Research (SIR), … - 2005

A necessary and sufficient condition for the strict stationarity of a family of GARCH processes∗ Mika Meitz Stockholm …. Conditions for strict stationarity in such a situation are discussed in Bougerol and Picard (1992). The following result gives …). The strict stationarity of the process {εt} follows from that of {zt} and {hkt}. In the case of the linear GARCH(1 …

Persistent link: https://www.econbiz.de/10005423819

Spurious regression under deterministic and stochastic trends

Noriega, Antonio E.; Ventosa-Santaulària, Daniel - Volkswirtschaftliche Fakultät, … - 2005

This paper analyses the asymptotic and finite sample implications of a mixed nonstationary behavior among the dependent and explanatory variables in a linear spurious regression model. We study the cases when the nonstationarity in the dependent variable is deterministic (stochastic), while the...

Persistent link: https://www.econbiz.de/10011108419