Search Results - subject:"STATIONARITY"

Multivariate versions of Bartlett’s formula

Su, Nan; Lund, Robert - In: Journal of Multivariate Analysis 105 (2012) 1, pp. 18-31

This paper quantifies the form of the asymptotic covariance matrix of the sample autocovariances in a multivariate stationary time series—the classic Bartlett formula. Such quantification is useful in many statistical inferences involving autocovariances. While joint asymptotic normality of...

Persistent link: https://www.econbiz.de/10011041943

Strictly stationary solutions of multivariate ARMA equations with i.i.d. noise

Brockwell, Peter; Lindner, Alexander; Vollenbröker, Bernd - In: Annals of the Institute of Statistical Mathematics 64 (2012) 6, pp. 1089-1119

We obtain necessary and sufficient conditions for the existence of strictly stationary solutions of multivariate ARMA equations with independent and identically distributed driving noise. For general ARMA(p, q) equations these conditions are expressed in terms of the coefficient polynomials of...

Persistent link: https://www.econbiz.de/10011000065

On the nonstationarity of the exchange rate process

Ohnishi, Takaaki; Takayasu, Hideki; Ito, Takatoshi; … - In: International Review of Financial Analysis 23 (2012) C, pp. 30-34

spanning 8years. We perform a statistical test of strict stationarity based on the two-sample Kolmogorov–Smirnov test for the …

Persistent link: https://www.econbiz.de/10010577782

Subperiod robustness checks: testing for effect mean stationarity

Stephen Haggard, K.; Witte, H. Douglas - In: Managerial Finance 38 (2012) 5, pp. 530-542

Purpose – The purpose of this paper is to suggest a superior method for assessing mean stationarity of asset pricing … effects. Design/methodology/approach – The authors suggest the use of an F ‐test to examine mean stationarity of asset pricing … estimated regression coefficients across subperiods when attempting to determine mean stationarity. Originality/value – This …

Persistent link: https://www.econbiz.de/10014940238

On the time to extinction from quasi-stationarity: A unified approach

Artalejo, J.R. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 19, pp. 4483-4486

This note provides a unified approach to the distribution of the time to extinction from quasi-stationarity for general …

Persistent link: https://www.econbiz.de/10010591862

Testing the Prebish–Singer hypothesis using second-generation panel data stationarity tests with a break

Arezki, Rabah; Hadri, Kaddour; Kurozumi, Eiji; Rao, Yao - In: Economics Letters 117 (2012) 3, pp. 814-816

run, using two recent powerful panel data stationarity tests accounting for cross-sectional dependence and a structural …

Persistent link: https://www.econbiz.de/10010594094

Nonstationary modeling for multivariate spatial processes

Kleiber, William; Nychka, Douglas - In: Journal of Multivariate Analysis 112 (2012) C, pp. 76-91

We derive a class of matrix valued covariance functions where the direct and cross-covariance functions are Matérn. The parameters of the Matérn class are allowed to vary with location, yielding local variances, local ranges, local geometric anisotropies and local smoothnesses. We discuss...

Persistent link: https://www.econbiz.de/10010594221

Testing for a unit root in the presence of stochastic volatility and leverage effect

Li, Yong; Chong, Terence Tai-Leung; Zhang, Jie - In: Economic Modelling 29 (2012) 5, pp. 2035-2038

sample properties and is robust to the stationarity of stochastic volatility. …

Persistent link: https://www.econbiz.de/10010597527

Revisiting fiscal sustainability: panel cointegration and structural breaks in OECD countries

Afonso, António; Jalles, João Tovar - ISEG - School of Economics and Management, Department … - 2012

We assess the sustainability of public finances in OECD countries, over the period 1970-2010, using unit root and cointegration analysis, both country and panel based, controlling for endogenous breaks. Results notably show: lack of cointegration – absence of sustainability – between...

Persistent link: https://www.econbiz.de/10010599167

Asymptotic inference of unstable periodic ARCH processes

Aknouche, Abdelhakim; Al-Eid, Eid - In: Statistical Inference for Stochastic Processes 15 (2012) 1, pp. 61-79

Persistent link: https://www.econbiz.de/10010539199