Search Results - subject:"linear processes"

Co-summability from linear to non-linear cointegration

Rico, Vanessa Berenguer; Gonzalo, Jesús - Departamento de Economía, Universidad Carlos III de Madrid - 2013

While co-integration theory is an ideal framework to study linear relationships among persistent economic time series, the intrinsic linearity in the concepts of integration and co-integration makes it unsuitable to study non-linear long run relations among persistent processes. This drawback...

Persistent link: https://www.econbiz.de/10010861851

Asymptotic expansion for nonparametric M-estimator in a nonlinear regression model with long-memory errors

Chen, Jia; Li, Degui; Lin, Zhengyan - 2011

errors are generated by long-memory linear processes. Under mild conditions, we show that the nonparametric M-estimator is …

Persistent link: https://www.econbiz.de/10009448727

Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes

Rico, Vanessa Berenguer; Gonzalo, Jesus - Departamento de Economía, Universidad Carlos III de Madrid - 2011

The order of integration is valid to characterize linear processes; but it is not appropriate for non-linear worlds. We …-summability which represents a generalization of co-integration for non-linear processes. To make this concept empirically applicable …

Persistent link: https://www.econbiz.de/10009195326

Backward and forward closed solutions of multivariate models

Ludlow, Jorge - Volkswirtschaftliche Fakultät, … - 2010

Economic models that incorporate expectations require non causal time series theory. We provide a general method useful to solve in closed form any forward linear rational expectations multivariate model. An anticipative VARMA model is likely to explain a behavioral relation were a tentative...

Persistent link: https://www.econbiz.de/10008540097

Nonparametric regression for dependent data in the errors-in-variables problem

Honda, Toshio - Institute of Economic Research, Hitotsubashi University - 2009

local constant and linear estimators. We treat both short-range dependent and long-range dependent linear processes in a …

Persistent link: https://www.econbiz.de/10008495553

Long Memory and the Term Structure of Risk

Schotman, Peter; Tschernig, Rolf; Budek, Jan - Wirtschaftswissenschaftliche Fakultät, Universität … - 2008

This paper explores the implications of asset return predictability on long-term portfolio choice when return forecasting variables exhibit long memory. We model long memory using the class of fractionally integrated time series models. Important predictor variables for U.S. data, like the...

Persistent link: https://www.econbiz.de/10008460985

Nonparametric Estimation of Conditional Medians for Linear and Related Processes

Honda, Toshio - Graduate School of Economics, Hitotsubashi University - 2007

from two mutually independent linear processes. The linear processes may show long-range dependence.The estimator of the …

Persistent link: https://www.econbiz.de/10004992563

Nonparametric Density Estimation for Linear Processes with Infinite Variance

Honda, Toshio - Graduate School of Economics, Hitotsubashi University - 2006

We consider nonparametric estimation of marginal density functions of linear processes by using kernel density … asymptotic distributions depend on both the coefficients of linear processes and the tail behavior of the innovations. In some …

Persistent link: https://www.econbiz.de/10004992572

Distribution free goodness-of-fit tests for linear processes

Delgado, Miguel A.; Hidalgo, Javier; Velasco, Carlos - London School of Economics (LSE) - 2005

This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence. Test statistics for composite hypotheses are functionals of a (approximated) martingale transformation of the Bartlett’s...

Persistent link: https://www.econbiz.de/10010928781

Distribution Free Goodness-of-Fit Tests for Linear Processes

Delgado, Miguel A.; Hidalgo, Javier; Velasco, Carlos - Suntory and Toyota International Centres for Economics … - 2005

Distribution Free Goodness-of-Fit Tests for Linear Processes* by Miguel A. Delgado Universidad Carlos III …; spectral distribution; linear processes; martingale decomposition; local alternatives; omnibus, smooth and directional tests …- tle estimator θ T and they are satisfied for all parametric linear processes used in practice. Standard ARMA models …

Persistent link: https://www.econbiz.de/10005151148