Search Results - subject:"Time series regression"

Exchange rate regime, real misalignment and currency crises

Holtemöller, Oliver; Mallick, Sushanta Kumar - In: Economic modelling 34 (2013), pp. 5-14

Persistent link: https://www.econbiz.de/10010360656

Dividend persistence and return predictability

Powell, John G; Shi, Jing; Smith, Tom - 2004

spurious regression problem when the dependent and independent variables in a time series regression are ratios composed of … predictor or explanatory variables in time series regression. The paper introduces a reformulated Lintner first difference …

Persistent link: https://www.econbiz.de/10009451688

A Comparative Analysis of Ability of Mimicking Portfolios in Representing the Background Factors

Asgharian, Hossein - 2004

background factors. Our analysis contains a cross-sectional regression approach, a time-series regression approach and a … in the asset pricing models. We conclude that the time series regression approach, with the book-to-market sorted …

Persistent link: https://www.econbiz.de/10013208454

Asymptotic Efficient Estimation of the Change Point in Time Series Regression Models

Shiohama, Takayuki - Center for Intergenerational Studies, Institute of … - 2004

This paper discusses the problem of estimating unknown change point in the trend function of a time series regression …

Persistent link: https://www.econbiz.de/10005018602

More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors

Xiao, Zhijie; Linton, Oliver; Carroll, Raymond J.; … - Cowles Foundation for Research in Economics, Yale University - 2002

We propose a modification of kernel time series regression estimators that improves efficiency when the innovation …

Persistent link: https://www.econbiz.de/10005196009

The impact of trade openness on regional inequality : the cases of India and Brazil

Daumal, Marie - DIAL - 2010

Regional inequalities are large in India and Brazil and represent a development challenge. This paper aims to determine whether regional disparities are linked to countries’ trade openness. An annual indicator of regional inequalities is constructed for India over the period 1980-2003 and for...

Persistent link: https://www.econbiz.de/10008636361

Adapting to unknown disturbance autocorrelation in regression with long memory

Hidalgo, Javier; Robinson, Peter - London School of Economics (LSE) - 2001

We show that it is possible to adapt to nonparametric disturbance autocorrelation in time series regression in the …

Persistent link: https://www.econbiz.de/10010745610

Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models

Doornik, Jurgen A.; Ooms, Marius - Economics Group, Nuffield College, University of Oxford - 2001

We discuss computational aspects of likelihood-based estimation of univariate ARFIMA (p,d,q) models. We show how efficient computation and simulation is feasible, even for large samples. We also discuss the implementation of analytical bias corrections.

Persistent link: https://www.econbiz.de/10005227210

Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models

Doornik, Jurgen; Ooms, Marius - Department of Economics, Oxford University - 2001

We discuss computational aspects of likelihood-based estimation of unvariate ARFIMA (p,d,q) models. We show how efficient computation and simulation is feasible, even for large samples. We also discuss the implementation of analytical bias corrections.

Persistent link: https://www.econbiz.de/10010605220

Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory

Hidalgo, Javier; Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2001

We show that it is possible to adapt to nonparametric disturbance auto-correlation in time series regression in the …

Persistent link: https://www.econbiz.de/10005670816