Search Results - subject:"STATIONARITY"

Generalized cointegration: a new concept with an application to health expenditure and health outcomes

Hall, Stephen; Swamy, P.; Tavlas, George - In: Empirical Economics 42 (2012) 2, pp. 603-618

Persistent link: https://www.econbiz.de/10010539308

Subperiod robustness checks: testing for effect mean stationarity

Haggard, K. Stephen; Witte, H. Douglas - In: Managerial Finance 38 (2012) May, 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/10010540359

Inflationary shocks and common economic trends: Implications for West African monetary union membership

Alagidede, Paul; Coleman, Simeon; Cuestas, Juan Carlos - In: Journal of Policy Modeling 34 (2012) 3, pp. 460-475

This paper examines the inflation dynamics and common trends in the real gross domestic product (GDP) in the candidate countries of the embryonic West African Monetary Zone (WAMZ). Using fractional integration and cointegration methods, we establish that significant heterogeneity in behavior...

Persistent link: https://www.econbiz.de/10010573840

Estimation of semiparametric locally stationary diffusion models

Koo, Bonsoo; Linton, Oliver - In: Journal of Econometrics 170 (2012) 1, pp. 210-233

stationarity. We establish asymptotic theory for the proposed estimators as the time span increases, so we do not rely on infill …

Persistent link: https://www.econbiz.de/10010664686

Subperiod robustness checks: testing for effect mean stationarity

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

Persistent link: https://www.econbiz.de/10010757792

EMPIRICAL VERIFICATION OF THE PURCHASING POWER PARITY

Wisniewski, Jakub - In: Oeconomia Copernicana 3 (2012) 3, pp. 37-61

cointegration of exchange rates and prices, as well as the stationarity of real exchange rates. The analysis used quarterly data …

Persistent link: https://www.econbiz.de/10011273781

EMPIRICAL VERIFICATION OF THE PURCHASING POWER PARITY

Wiœniewski, Jakub - In: Oeconomia Copernicana 3 (2012), pp. 37-61

cointegration of exchange rates and prices, as well as the stationarity of real exchange rates. The analysis used quarterly data …

Persistent link: https://www.econbiz.de/10011273859

Co-movements of oil, gold, the US dollar, and stocks

Samanta, Subarna K.; Mohamad-Zadeh, Ali H. - In: Modern economy 3 (2012) 1, pp. 111-117

Persistent link: https://www.econbiz.de/10009710520

On the nonstationarity of the exchange rate process

Ohnishi, Takaaki; Takayasu, Hideki; Itō, Takatoshi; … - In: International review of financial analysis 23 (2012), pp. 30-34

Persistent link: https://www.econbiz.de/10009690133

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

Persistent link: https://www.econbiz.de/10009666985