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Long-run and Cyclical Dynamics in the US Stock Market

Gil-Alana, L.A.; caporale, G.M. - Econometric Society - 2004

This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques. We implement a version of the tests of Robinson (1994a), which enables one to consider unit (or fractional) roots both at the zero (long-run) and at the cyclical...

Persistent link: https://www.econbiz.de/10005063571

Testing for structural change in regression with long memory processes

Lazarova, Stepana - Econometric Society - 2004

The paper considers tests for structural change in time series regression models where both regressors and residuals may exhibit long range dependence. The limiting distribution of the test statistic depends on unknown parameters and is approximated by a bootstrap procedure. The asymptotic...

Persistent link: https://www.econbiz.de/10005063603

How Can We Define the Long Memory Concept? An Econometric Survey

Guegan, Dominique - Econometric Society - 2004

The possibility of confusing long memory behavior with structural changes need to specify what kind of long memory behavior is concerned in literature and applications. One attraction of long memory models is that they imply different long run predictions and effects of shocks to conventional...

Persistent link: https://www.econbiz.de/10005063626

Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices

Ooms, Marius; Carnero, M. Angeles; Koopman, Siem Jan - Econometric Society - 2004

In this paper we consider different periodic extensions of regression models with autoregressive fractionally integrated moving average disturbances for the analysis of daily spot prices of electricity. We show that day-of-the-week periodicity and long memory are important determinants for the...

Persistent link: https://www.econbiz.de/10005063668

Allowing for basis convergence and long memory in volatility when dynamic hedging the Australian All Ordinaries Index

Dark, Jonathan - Econometric Society - 2004

MVHRs, however the approach does not exploit the convergence between the All Ordinaries Index and its SPI futures over the … life of the futures contract. To allow for basis convergence we employ bivariate GARCH and FIGARCH models with maturity … allowing for basis convergence and long memory in volatility when modelling the joint dynamics. These effects are also shown to …

Persistent link: https://www.econbiz.de/10005063678

Long Memory in Import and Export Price Inflation and Persistence of Shocks to the Terms of Trade

TAN, G. K. Randolph - Econometric Society - 2004

aggregation in macroeconomic series. Our analysis provides evidence of an alternative explanation, namely that long-memory may …

Persistent link: https://www.econbiz.de/10005702737

Effect of Moments on Aggregation and Long Memory in Inflation

Hightower, Kenneth; Yigit, Taner M. - Econometric Society - 2004

There are two crucial conditions for cross-sectional aggregation of AR(1) parameters to produce long memory: 1 … first modeling long memory in inflation as a result of the aggregation of individual inflation expectations and then showing …

Persistent link: https://www.econbiz.de/10005342140

Productivity of Nations: a stochastic frontier approach to TFP decomposition

Garcia, Fernando; Pires, Jorge Oliveira - Econometric Society - 2004

This paper tackles the problem of aggregate TFP measurement using stochastic frontier analysis (SFA). Data from Penn World Table 6.1 are used to estimate a world production frontier for a sample of 75 countries over a long period (1950-2000) taking advantage of the model offered by Battese &...

Persistent link: https://www.econbiz.de/10005699603

Party Polarization and Electoral Accountability

Testa, Cecilia - Econometric Society - 2004

In this paper we model the interaction between parties and candidates to highlight the mechanisms by which parties selecting candidates may discipline legislators. Parties are long-lived institutions providing incentives to short-lived candidates. Citizens have preferences over a multimentional...

Persistent link: https://www.econbiz.de/10005699610

The Impact of Structural Funds Policy on European Regions Growth. A Theoretical and Empirical Approach

Mari-Carmen Puigcerver-Pe\UNICODE{0xf1}alver - Econometric Society - 2004

between the two Programming periods appears on the estimated rates of beta -convergence and the catching-effect …

Persistent link: https://www.econbiz.de/10005699620