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Persistence, non-linearities and structural breaks in European stock market indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019

This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no...

Persistent link: https://www.econbiz.de/10012024535

Identification and estimation of the environmental Kuznets curve : pairwise differencing to deal with nonlinearity and nonstationarity

Sen, Suphi; Melenberg, Bertrand; Vollebergh, Herman R. J. - 2016

We propose an estimation strategy that accounts for two major problems raised in the empirical literature testing for the prevalence of the inverted U-shaped relation between environmental degradation and economic activity, namely the Environmental Kuznets Curve (EKC) hypothesis. First, we use...

Persistent link: https://www.econbiz.de/10011447524

Estimation and inference in short panel vector autoregressions with unit roots and cointegration

Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - 2000

derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that … estimators making use of variants of homoskedasticity and stationarity restrictions as suggested in the literature in a … hypothesis and cointegration tests based on it perform well in small sample; this is in marked contrast to the small sample …

Persistent link: https://www.econbiz.de/10009786715

Fiscal sustainability of the German Laender : time series evidence

Burret, Heiko T.; Feld, Lars P.; Köhler, Ekkehard A. - 2014

, first, examine the stationarity characteristics of public debt, revenues and expenditures. Second, we explore the long …-run relation between expenditures and revenues in a cointegration analysis within each Land. The results provide evidence against …

Persistent link: https://www.econbiz.de/10010388609

Non-linearities and persistence in US long-run interest rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020

This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of interest rates. Two series are analysed, one from...

Persistent link: https://www.econbiz.de/10012383724

Testing for UIP : nonlinearities, monetary announcements and interest rate expectations

Anderl, Christina; Caporale, Guglielmo Maria - 2021

This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...

Persistent link: https://www.econbiz.de/10012508617

Estimation of time-invariant effects in static panel data models

Pesaran, M. Hashem; Zhou, Qiankun - 2014

This paper proposes the Fixed Effects Filtered (FEF) and Fixed Effects Filtered instrumental variable (FEF-IV) estimators for estimation and inference in the case of time-invariant effects in static panel data models when N is large and T is fixed. It is shown that the FEF and FEF-IV estimators...

Persistent link: https://www.econbiz.de/10010412873

Reflections on "testing for unit roots in heterogeneous panels"

Im, KyungSo; Pesaran, M. Hashem; Shin, Yongcheol - 2023

This article is our personal perspective on the IPS test and the subsequent developments of unit root and cointegration …

Persistent link: https://www.econbiz.de/10013494205

Testing for common cyclical features in var models with cointegration

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …

Persistent link: https://www.econbiz.de/10011398127

Separation, weak exogeneity and P-T decomposition in cointegrated VAR systems with common features

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2002

investigate the relationships between separation in cointegration and separation in serial correlation common features. Loosely …

Persistent link: https://www.econbiz.de/10011409009