Search Results - subject:"STATIONARITY"

Residual log-periodogram inference for long-run relationships

Hassler, Uwe; Mármol, Francesc; Velasco, Carlos - 2002

We assume that some consistent estimator of an equilibrium relation between non-stationary fractionally integrated series is used in a first step to compute residuals (or differences thereof). We propose to apply the semiparametric log-periodogram regression to the (differenced) residuals in...

Persistent link: https://www.econbiz.de/10011524765

An Econometric Analysis of Investment Spending of a Sub-national Government in India

Mohanty, Bimal K. - In: Margin: The Journal of Applied Economic Research 4 (2010) 1, pp. 79-100

Investment spending of a sub-national government in India is equated with its capital expenditure. This article analyses spending by the state government of Orissa. Inadequate provision of physical infrastructure has been a primary cause of poverty and unemployment in the state. Government...

Persistent link: https://www.econbiz.de/10010781143

Local normalization: Uncovering correlations in non-stationary financial time series

Schäfer, Rudi; Guhr, Thomas - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 18, pp. 3856-3865

we address an estimation error that stems from the non-stationarity of the time series. We put forward a method to rid …

Persistent link: https://www.econbiz.de/10011064487

On stationarity of energy prices quoted on the Polish Power Exchange and Polish adjustment market in the year 2008

Łochowski, Rafał M. - In: Collegium of Economic Analysis Annals (2010) 22, pp. 223-233

the time when the emissions limits were granted to specific branches of national economy. We investigated the stationarity … Dickey-Fuller) test as a test for stationarity with lag order equal 7. The need of using ADF test with high lag order equal 7 … is due to high correlati on between energy consumption in consecutive days of the week. The hypotheses of stationarity of …

Persistent link: https://www.econbiz.de/10011010461

Stationarity and mixing properties of the dynamic Tobit model

Hahn, Jinyong; Kuersteiner, Guido - In: Economics Letters 107 (2010) 2, pp. 105-111

We establish strict stationarity and strong mixing properties of the dynamic Tobit process. Using these results we show …

Persistent link: https://www.econbiz.de/10008551365

The fragility of the KPSS stationarity test

Cappuccio, Nunzio; Lubian, Diego - In: Statistical Methods and Applications 19 (2010) 2, pp. 237-253

Persistent link: https://www.econbiz.de/10008486567

Wavelet variance analysis for gappy time series

Mondal, Debashis; Percival, Donald - In: Annals of the Institute of Statistical Mathematics 62 (2010) 5, pp. 943-966

Persistent link: https://www.econbiz.de/10008533956

Non-linearities in Real Interest Rate Parity: Evidence from OECD and Asian Developing Economies

Baharumshah, Ahmad Zubaidi; Liew, Venus Khim-Sen; … - In: Global Economic Review 39 (2010) 4, pp. 351-364

This paper investigates the validity real interest rate parity (RIP) for a sample of 19 OECD and Asian developing economies. The distinction of this paper is that we exploit both linearity and non-linear unit root tests as advocated by Dufrenot et al. (Applied Economics, 38, pp. 203-229, 2006)...

Persistent link: https://www.econbiz.de/10009194261

Time-Tradeoff Sequences for Analyzing Discounting and Time Inconsistency

Attema, Arthur E.; Bleichrodt, Han; Rohde, Kirsten I. M.; … - In: Management Science 56 (2010) 11, pp. 2015-2030

This paper introduces time-tradeoff (TTO) sequences as a general tool to analyze intertemporal choice. We give several applications. For empirical purposes, we can measure discount functions without requiring any measurement of or assumption about utility. We can quantitatively measure time...

Persistent link: https://www.econbiz.de/10009197316

Order selection for heteroscedastic autoregression: A study on concentration

Chandler, Gabriel - In: Statistics & Probability Letters 80 (2010) 23-24, pp. 1904-1910

We consider an autoregressive model where the variance is allowed to be a function of time, unconditional on the past. Pötscher (1989) has proven that, regardless of the shape of the variance function, order selection can be made consistently. However, this procedure does not account for the...

Persistent link: https://www.econbiz.de/10008868870