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smooth trend and the seasonality are non-parametrically time-varying and evolve in real time. We provide the associated …-tailed noise. A study of exchange rate returns sampled from 2010 to 2013 suggests that failing to factor in the seasonality …
Persistent link: https://www.econbiz.de/10011755303
In this paper, we study the asymptotic behavior of the sequential empirical process and the sequential empirical copula process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of structural changes and specification tests of the...
Persistent link: https://www.econbiz.de/10011755366
The aims of this paper are estimate and forecast the Non-Accelerating Inflation Rate of Unemployment, or NAIRU, for Brazilian unemployment time series data. In doing so, we introduce a methodology for estimating mixed additive seasonal autoregressive (MASAR) models, by the Generalized Method of...
Persistent link: https://www.econbiz.de/10005407874
This zip archive contains implementations of the trend-cycle-season filter in Eviews, Excel, and MatLab. The trend-cycle-season filter is another univariate method to decompose a time series into a trend, a cyclical and a seasonal component: the Trend-Cycle filter (TC filter) and its extension,...
Persistent link: https://www.econbiz.de/10005062569
This paper proposes a new univariate method to decompose a time series into a trend, a cyclical and a seasonal component: the Trend-Cycle filter (TC filter) and its extension, the Trend-Cycle-Season filter (TCS filter). They can be regarded as extensions of the Hodrick-Prescott filter (HP...
Persistent link: https://www.econbiz.de/10005556341
This paper improves a kernel-smoothed test of symmetry through combining it with a new class of asymmetric kernels called the generalized gamma kernels. It is demonstrated that the improved test statistic has a normal limit under the null of symmetry and is consistent under the alternative. A...
Persistent link: https://www.econbiz.de/10011755333
We propose a general procedure for testing that a regression function has a prescribed parametric form. We allow for multivariate regressors, non-normal errors and heteroscedasticity of unknown form. The test relies upon a nonparametric linear estimation method, such as a sieves expansion or the...
Persistent link: https://www.econbiz.de/10005407986
Although semiparametric alternatives are available, parametric binary choice models are widely used in practice, in spite of their sensitivity to misspecification. Here we present the results of a simulation study on the finite sample performance of parametric and semiparametric specification...
Persistent link: https://www.econbiz.de/10005119081
The usual t test, the t test based on heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators, and the heteroskedasticity and autocorrelation robust (HAR) test are three statistics that are widely used in applied econometric work. The use of these significance tests...
Persistent link: https://www.econbiz.de/10012696265
The goal of this paper is to search for conclusive evidence against the stationarity of the global air surface temperature, which is one of the most important indicators of climate change. For this purpose, possible long-range dependencies are investigated in the frequency-domain. Since...
Persistent link: https://www.econbiz.de/10012696291