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Ten Things We Should Know About Time Series

McAleer, Michael; Oxley, Les - Faculteit der Economische Wetenschappen, Erasmus … - 2010

Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing...

Persistent link: https://www.econbiz.de/10010837984

Cointegration in a historical perspective

Franses, Philip Hans; van Dijk, Dick - Faculteit der Economische Wetenschappen, Erasmus … - 2009

We analyse the impact of the Engle and Granger (1987) article by its citations over time, and find evidence of a second life starting in the new millennium. Next, we propose a possible explanation of the success of this citation classic. We argue that the conditions for its success were just...

Persistent link: https://www.econbiz.de/10010731703

Bayesian model averaging in vector autoregressive processes with an investigation of stability of the US great ratios and risk of a liquidity trap in the USA, UK and Japan

Strachan, Rodney; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2007

A Bayesian model averaging procedure is presented within the class of vector autoregressive (VAR) processes and applied to two empirical issues. First, stability of the "Great Ratios" in U.S. macro-economic time series is investigated, together with the presence and e¤ects of permanent shocks....

Persistent link: https://www.econbiz.de/10010731708

Modeling regional house prices

Franses, Philip Hans; Paap, Richard; van Dijk, Dick; … - Faculteit der Economische Wetenschappen, Erasmus … - 2007

time series dimension is large. The model allows for stochastic trends, cointegration, cross-equation correlations and …

Persistent link: https://www.econbiz.de/10010731783

Generalized Reduced Rank Tests using the Singular Value Decomposition

Kleibergen, Frank; Paap, Richard - Faculteit der Economische Wetenschappen, Erasmus … - 2003

rank statistic. In the non-stationary cointegration case, the limiting distribution of the rank statistic is identical to …

Persistent link: https://www.econbiz.de/10010731839

Model uncertainty and Bayesian model averaging in vector autoregressive processes

Strachan, Rodney; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2006

Economic forecasts and policy decisions are often informed by empirical analysis based on econometric models. However, inference based upon a single model, when several viable models exist, limits its usefulness. Taking account of model uncertainty, a Bayesian model averaging procedure is...

Persistent link: https://www.econbiz.de/10010731910

Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analyses of Cointegration

Kleibergen, Frank; Paap, Richard - Faculteit der Economische Wetenschappen, Erasmus … - 1996

Using the standard linear model as a base, a unified theory of Bayesian Analyses of Cointegration Models is constructed … cointegration model. Using these priors, posterior results for the cointegration model are obtained using a Metropolis …-Hasting sampler. To compare the cointegration models mutually and with the vector autoregressive model under stationarity, we use two …

Persistent link: https://www.econbiz.de/10010837753

Valuing structure, model uncertainty and model averaging in vector autoregressive processes

Strachan, Rodney; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2004

uniform priors on subspaces defined by particular structural features of VARs. The features considered are cointegration …

Persistent link: https://www.econbiz.de/10010837836

The value of structural information in the VAR model

Strachan, Rodney; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2003

features of a model, such as cointegration, can improve policy analysis as it can improve estimation, inference and forecast … features of the VAR model. The features considered are cointegration, exogeneity, deterministic processes and …

Persistent link: https://www.econbiz.de/10010837862