Search Results - subject:"differencing"

To difference or not to difference: a Monte Carlo investigation of inference in vector autoregression models

Ashley, Richard A.; Verbrugge, Randal J. - In: International Journal of Data Analysis Techniques and … 1 (2009) 3, pp. 242-274

It is often unclear whether time series displaying substantial persistence should be modelled as a vector autoregression in levels (perhaps with a trend term) or in differences. The impact of this decision on inference is examined here using Monte Carlo simulation. In particular, the size and...

Persistent link: https://www.econbiz.de/10008563413

Long-term Memory in Volatility: Some Evidence from International Securitized Real Estate Markets

Liow, Kim - In: The Journal of Real Estate Finance and Economics 39 (2009) 4, pp. 415-438

Persistent link: https://www.econbiz.de/10008527163

SEMIFAR models

Beran, Jan; Feng, Yuanhua; Ocker, Dirk - 1999

trend is estimated by a kernel method. The differencing and fractional differencing parameters as well as the autoregressive …

Persistent link: https://www.econbiz.de/10009793259

SEMIFAR models : a semiparametric framework for modelling trends, long range dependence and nonstationarity

Beran, Jan - 1999

, including a fractional and an integer differencing parameter, can be estimated by maximum likelihood. deterministic trends are …

Persistent link: https://www.econbiz.de/10011543808

SEMIFAR forecasts, with applications to foreign exchange rates

Beran, Jan; Ocker, Dirk - 1999

SEMIFAR models introduced in Beran (1999) provide a semiparametric modelling framework that enables the data analyst to separate deterministic and stochastic trends as well as short- and long-memory components in an observed time series. A correct distinction between these components, and in...

Persistent link: https://www.econbiz.de/10011544579

SEMIFAR models

Beran, Jan; Feng, Yuanhua; Ocker, Dirk - 1999

trend is estimated by a kernel method. The differencing and fractional differencing parameters as well as the autoregressive …

Persistent link: https://www.econbiz.de/10010316696

SEMIFAR models

Beran, Jan; Feng, Yuanhua; Ocker, Dirk - Institut für Wirtschafts- und Sozialstatistik, … - 1999

trend is estimated by a kernel method. The differencing and fractional differencing parameters as well as the autoregressive …

Persistent link: https://www.econbiz.de/10010955524

A Primer on Unit Root Testing

Phillips, Peter C.B.; Xiao, Zhijie - Cowles Foundation for Research in Economics, Yale University - 1998

The immense literature and diversity of unit root tests can at times be confusing even to the specialist and presents a truly daunting prospect to the uninitiated. In consequence, much empirical work still makes use of the simplest testing procedures because it is unclear from the literature and...

Persistent link: https://www.econbiz.de/10005593418

Long Memory Inflationary Dynamics: The Case of Brazil

Reisen, Valderio; Cribari-Neto, Francisco; Jensen, Mark - In: Studies in Nonlinear Dynamics & Econometrics 7 (2007) 3, pp. 1157-1157

in Brazil are nearly fully inertial. We estimate the fractional differencing parameter using an ARFIMA specification for … found by other researchers. We also found that the estimates of the fractional parameter are invariant to first differencing. …

Persistent link: https://www.econbiz.de/10004966230

Empirical study of ARFIMA model based on fractional differencing

Xiu, Jin; Jin, Yao - In: Physica A: Statistical Mechanics and its Applications 377 (2007) 1, pp. 138-154

model for it, and detailed the procedure of fractional differencing. Furthermore, we compared the ARFIMA model built by this … means with the one that took first-order differencing as an alternative. The result showed that, if doing so, much useful … differencing, and was employed in the empirical study. It was illustrated that the forecast performance of ARFIMA model was not as …

Persistent link: https://www.econbiz.de/10010588698