Search Results - subject:"parameter instability"

The Information Content of Implied Probabilities to Detect Structural Change

Guay, Alain; Lamarche, Jean-François - Centre Interuniversitaire sur le Risque, les Politiques … - 2008

This paper proposes Pearson-type statistics based on implies probabilities to detect structural change. The class of generalized empirical likelihood estimators (see Smith (1997)) assigns a set of probabilities to each observation such that moment conditions are satisfied. These restricted...

Persistent link: https://www.econbiz.de/10005015266

Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters

Inoue, Atsushi; Jin, Lu; Rossi, Barbara - Barcelona Graduate School of Economics (Barcelona GSE) - 2014

While forecasting is a common practice in academia, government and business alike, practitioners are often left wondering how to choose the sample for estimating forecasting models. When we forecast inflation in 2014, for example, should we use the last 30 years of data or the last 10 years of...

Persistent link: https://www.econbiz.de/10010950609

Testing the efficiency of the futures market for crude oil in the presence of a structural break

Stevens, Jason; Lamirande, P. de - In: Applied economics 46 (2014) 31/33, pp. 4053-4059

Persistent link: https://www.econbiz.de/10010421854

Efficient Bayesian inference for multiple change-point and mixture innovation models

Giordani, Paolo; Kohn, Robert - 2006

Time series subject to parameter shifts of random magnitude and timing are commonly modeled with a change-point approach using Chib's (1998) algorithm to draw the break dates. We outline some advantages of an alternative approach in which breaks come through mixture distributions in state...

Persistent link: https://www.econbiz.de/10010320792

Are Exchange Rates Really Random Walks? Some Evidence Robust To Parameter Instability

Rossi, Barbara - 2006

developed tests for nested model that are robust to the presence of parameter instability. The empirical evidence shows that for …

Persistent link: https://www.econbiz.de/10009475539

Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models

Giordani, Paolo; Kohn, Robert - Sveriges Riksbank - 2006

parameter instability in linear models of U.S. macroeconomic and �nancial time series. Traditionally, a majority of papers in … mixture inno- vation, change-point, regime-switching, and outlier detection. Keywords: Structural breaks; Parameter … instability; Change-point; State-space; Mixtures; Discrete latent variables; Adaptive Metropolis- Hastings. JEL Classi …

Persistent link: https://www.econbiz.de/10005649068

Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?

Caporale, Guglielmo Maria; Hanck, Christoph - CESifo - 2006

We analyse whether tests of PPP exhibit erratic behaviour (as previously reported by Caporale et al., 2003) even when (possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage-three) tests between the nominal exchange rate, domestic...

Persistent link: https://www.econbiz.de/10005765840

Varying Monetary Policy Regimes: A Vector Autoregressive Investigation

Hanson, Michael S. - Economics Department, Wesleyan University - 2006

Recently, two stylized facts about the behavior of the U.S. economy have emerged: first, macroeconomic aggregates appear to be less volatile post-1984 than in the preceding two decades; second, monetary policy appears more responsive to inflationary pressures—and thereby more “stabilizing”...

Persistent link: https://www.econbiz.de/10005187245

A new approach to tests of pricing-to-market

Byrne, Joseph P.; Kortava, Ekaterina; MacDonald, Ronald - In: Journal of International Money and Finance 32 (2013) C, pp. 654-667

parameter instability, we examine the forecasting performance of a pricing-to-market model. In doing so we apply a selection of …

Persistent link: https://www.econbiz.de/10010594679

Optimal Tests For Nested Model Selection With Underlying Parameter Instability

Rossi, Barbara - 2005

instability. These are joint tests for both parameter instability and a null hypothesis on (a subset of) the parameters. They … modify the existing tests for parameter instability to allow the parameter vector to be unknown. It is commonly argued that …. It also shows that the optimal tests are more powerful than sequential tests that test for parameter instability in a …

Persistent link: https://www.econbiz.de/10009475528