Showing 1 - 10 of 279
Persistent link: https://www.econbiz.de/10005407976
cointegration test, we assert that between January 1992 and November 1995, the Ukraine was faced with a complex monetary regime in …
Persistent link: https://www.econbiz.de/10005407979
Many applied economists face problems in selecting an appropriate technique to estimate short and long run relationships with the time series methods. This paper reviews three alternative approaches viz., general to specific (GETS), vector autoregressions (VAR) and the vector error correction...
Persistent link: https://www.econbiz.de/10005556358
This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...
Persistent link: https://www.econbiz.de/10005119105
In this paper we investigate the possibility of the application of subsampling procedure for testing cointegration … distribution and nuisance parameters in testing for cointegration rank without an explicitly formulated structural model. The … cointegration rank in large scale models, where the standard procedures hits already its limit. For empirical relevant cases our …
Persistent link: https://www.econbiz.de/10005119151
ability of the model to forecast not only one-period ahead but also many periods into the future. Keywords: Cointegration …
Persistent link: https://www.econbiz.de/10005119198
This paper discusses nonparametric kernel regression with the regressor being a \(d\)-dimensional \(\beta\)-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate \(\sqrt{n(T)h^{d}}\), where \(n(T)\) is...
Persistent link: https://www.econbiz.de/10011254954
This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...
Persistent link: https://www.econbiz.de/10011995217
We consider the situation when there is a large number of series, $N$, each with $T$ observations, and each series has some predictive ability for the variable of interest, $y$. A methodology of growing interest is to first estimate common factors from the panel of data by the method of...
Persistent link: https://www.econbiz.de/10005407875
We examine the ability of the simple linear-quadratic model under rational expectations to explain dynamic behaviour of aggregate Canadian imports. In contrast to authors of previous studies who examine dynamic behaviour using the LQ model, we estimate the structural parameters using the Euler...
Persistent link: https://www.econbiz.de/10005407876