Search Results - subject:"deterministic and stochastic trends"

Breusch, Trevor; Vahid, Farshid - Department of Econometrics and Business Statistics, … - 2011

Are global temperatures on a warming trend? It is difficult to be certain about trends when there is so much variation in the data and very high correlation from year to year. We investigate the question using statistical time series methods. Our analysis shows that the upward movement over the...

Persistent link: https://www.econbiz.de/10008862079

Spurious Long-Horizon Regression in Econometrics

Noriega, Antonio E.; Ventosa-Santaulària, Daniel - Banco de México - 2010

This paper extends recent research on the behaviour of the t-statistic in a long-horizon regression (LHR). We assume that the explanatory and dependent variables are generated according to the following models: a linear trend stationary process, a broken trend stationary process, a unit root...

Persistent link: https://www.econbiz.de/10008507943

Spurious long-horizon regression in econometrics

Noriega, Antonio E.; Ventosa-Santaulària, Daniel - 2010

Persistent link: https://www.econbiz.de/10010322629

Structural breaks and energy efficiency in Fiji

Rao, B. Bhaskara; Rao, Gyaneshwar - Volkswirtschaftliche Fakultät, … - 2007

This paper examines how energy-output ratios in Fiji have responded to the energy crises and in particular if they have declined after the shocks. The expectation is that energy efficiency should improve after the oil shocks. For this purpose we used at first a few simpler procedures and then...

Persistent link: https://www.econbiz.de/10005789410

Band Spectral Regression with Trending Data

Corbae, Dean; Ouliaris, Sam; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1997

Band spectral regression with deterministic and stochastic trends is considered. It is shown that conventional trend … spectral regression estimators and associated inferential methods are provided for models with deterministic and stochastic … trends. Some supporting Monte Carlo evidence is presented. An empirical application to the present value model of stock …

Persistent link: https://www.econbiz.de/10004990758