Search Results - subject:"fractional integration."

Further evidence on the statistical properties of real GNP

Mayoral, Laura - Department of Economics and Business, Universitat … - 2005

The well-known lack of power of unit root tests has often been attributed to the short length of macroeconomic variables and also to DGP’s that depart from the I(1)-I(0) alternatives. This paper shows that by using long spans of annual real GNP and GNP per capita (133 years) high power can be...

Persistent link: https://www.econbiz.de/10005771961

What is what?: A simple time-domain test of long-memory vs. structural breaks

Dolado, Juan J.; Gonzalo, Jesús; Mayoral, Laura - Department of Economics and Business, Universitat … - 2005

This paper proposes a new time-domain test of a process being I(d), 0 d = 1, under the null, against the alternative of being I(0) with deterministic components subject to structural breaks at known or unknown dates, with the goal of disentangling the existing identification issue between...

Persistent link: https://www.econbiz.de/10005772217

Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks

Mayoral, Laura - Department of Economics and Business, Universitat … - 2005

Although it is commonly accepted that most macroeconomic variables are nonstationary, it is often difficult to identify the source of the non-stationarity. In particular, it is well-known that integrated and short memory models containing trending components that may display sudden changes in...

Persistent link: https://www.econbiz.de/10005772252

THE LONG MEMORY STORY OF REAL INTEREST RATES. CAN IT BE SUPPORTED?

Paya, Ivan; Duarte, Agustín; Venetis, Ioannis A. - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2005

This papers finds evidence of fractional integration for a number of monthly ex post real interest rate series using … on certain time series requirements that emerge from fractional integration and we find that they do not hold pointing to …

Persistent link: https://www.econbiz.de/10005731448

Seasonal and Periodic Long Memory Models in the In�ation Rates

Ben Nasr, Adnen; Trabelsi, Abdelwahed - Volkswirtschaftliche Fakultät, … - 2005

This paper considers the application of long memory processes to describe inflation with seasonal behaviour. We use three different long memory models taking into account the seasonal pattern in the data. Namely, the ARFIMA model with deterministic seasonality, the ARFISMA model, and the...

Persistent link: https://www.econbiz.de/10008595907

Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices

Haldrup; Niels; Nielsen, Morten Oerregaard - School of Economics and Management, University of Aarhus - 2005

has been argued that long memory in the form of fractional integration can easily be interchanged with non-linear models … fractional integration parameters. Disregarding the matrix P, which is not needed for the estimation of the remaining parameters …] Baillie, R. T., 1996, Long memory processes and fractional integration in econometrics, Journal of Econometrics 73, 6-59. [3 …

Persistent link: https://www.econbiz.de/10005114085

Predicting BRICS Stock Returns Using ARFIMA Models

Aye, Goodness C.; Balcilar, Mehmet; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2012

This paper examines the existence of long memory in daily stock market returns from Brazil, Russia, India, China, and South Africa (BRICS) countries and also attempts to shed light on the efficacy of Autoregressive Fractionally Integrated Moving Average (ARFIMA) models in predicting stock...

Persistent link: https://www.econbiz.de/10010765632

A wavelet based investigation of long memory in stock returns

Tan, Pei P.; Galagedera, Don U.A.; Maharaj, Elizabeth A. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 7, pp. 2330-2341

Using a wavelet-based maximum likelihood fractional integration estimator, we test long memory (return predictability …

Persistent link: https://www.econbiz.de/10010874739

Testing for persistent deviations of stock prices to dividends in the Nasdaq index

Cuñado, J.; Gil-Alana, L.A.; Perez de Gracia, F. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 20, pp. 4675-4685

fractional integration techniques and allowing for structural breaks and non-linear adjustments of prices to dividends. The …

Persistent link: https://www.econbiz.de/10011063125

Uncovering the US term premium: An alternative route

Gil-Alana, Luis A.; Moreno, Antonio - In: Journal of Banking & Finance 36 (2012) 4, pp. 1181-1193

The estimates of the US term premium crucially depend upon the ex-ante decision on whether the short-term rate is either an I(0) or an I(1) process. In this paper we estimate a fractionally integrated (I(d)) model which simultaneously determines both the order of integration of the short-term...

Persistent link: https://www.econbiz.de/10010574868