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Adaptive ARFIMA models with applications to inflation

Baillie, Richard T.; Morana, Claudio - In: Economic Modelling 29 (2012) 6, pp. 2451-2459

Many previous analyses of inflation have used either long memory or nonlinear time series models. This paper suggests a … simple adaptive modification of the basic ARFIMA model, which uses a flexible Fourier form to allow for a time varying … also that the new model can be efficiently estimated by a QMLE approach. We investigate monthly CPI inflation series for …

Persistent link: https://www.econbiz.de/10010588218

Inflation persistence, inflation expectations, and monetary policy in China

Zhang, Chengsi - In: Economic Modelling 28 (2011) 1, pp. 622-629

This paper constructs a quarterly series of GDP deflator inflation for China from 1979 to 2009 and tests for a … structural break with an unknown change point in the dynamic inflation process. Empirical results suggest a significant … structural change in inflation persistence. Employing a counterfactual simulation method, we show that the structural change is …

Persistent link: https://www.econbiz.de/10010573373

An empirical estimation for mean-reverting coal prices with long memory

Sun, Qi; Xu, Weijun; Xiao, Weilin - In: Economic Modelling 33 (2013) C, pp. 174-181

In this paper we discuss the calibration issues of power models built on mean-reverting processes combined with long memory. The unknown parameters of fractional mean-reversion processes are estimated by a hybrid estimation method, which is built upon the marriage of the quadratic variation and...

Persistent link: https://www.econbiz.de/10011048787

A new energy model to capture the behavior of energy price processes

Xu, Weijun; Sun, Qi; Xiao, Weilin - In: Economic Modelling 29 (2012) 5, pp. 1585-1591

Owing to the vague fluctuation of energy prices from time to time, a new energy model, which considers both the mean-reverting behavior and the long memory property, is proposed in this paper. Since the problem of estimating parameters, in discrete time for this model, plays a central role in...

Persistent link: https://www.econbiz.de/10010597504

Some cautions on the use of nonlinear panel unit root tests: Evidence from a modified series-specific non-linear panel unit-root test

Lau, Chi Keung Marco; Suvankulov, Farrukh; Su, Yongyang; … - In: Economic Modelling 29 (2012) 3, pp. 810-816

The purpose of this paper is to examine the relevance of applying nonlinear panel unit root test to examine the non-linear mean reversion behaviors of real exchange rates. We find that nonlinear panel unit root test may achieve lower power performance as compared to its alternative of linear...

Persistent link: https://www.econbiz.de/10010573375

Comovements among U.S. state housing prices: Evidence from fractional cointegration

Barros, Carlos Pestana; Gil-Alana, Luis A.; Payne, James E. - In: Economic Modelling 29 (2012) 3, pp. 936-942

This study investigates the relationship between U.S. state housing prices and overall U.S. housing prices as well as the relationship among state housing prices using fractional integration and cointegration techniques. The results based on parametric and semiparametric estimators reveal that...

Persistent link: https://www.econbiz.de/10010573320

Real interest rate parity with Flexible Fourier stationary test for Central and Eastern European countries

Su, Chi-Wei; Chang, Hsu-Ling; Liu, Lin - In: Economic Modelling 29 (2012) 6, pp. 2719-2723

This study applies stationary test with a Fourier function proposed by Enders and Lee (2012) to test the validity of long-run real interest rate parity (RIRP) to assess the non-stationary properties of the real interest rate convergence for twelve Central and Eastern European (CEE) countries. We...

Persistent link: https://www.econbiz.de/10010588235

Output gap measurement and the New Keynesian Phillips curve for China

Zhang, Chengsi; Murasawa, Yasutomo - In: Economic Modelling 28 (2011) 6, pp. 2462-2468

due to nominal rigidities, drives the dynamics of inflation relative to expected inflation and lagged inflation. This … paper exploits the empirical success of the New Keynesian Phillips curve in explaining China's inflation dynamics with a new …, based on a multivariate dynamic model featuring distinct interactions among inflation, money, and real output in China. The …

Persistent link: https://www.econbiz.de/10010577098

US inflation and consumption: A long-term perspective with a level shift

Paradiso, Antonio; Casadio, Paolo; Rao, B. Bhaskara - In: Economic Modelling 29 (2012) 5, pp. 1837-1849

relationship, and 2) using inflation as an additional explanatory variable. By implementing a well structured estimation strategy …, we found that after taking the level shift into account, a cointegrating equation, including inflation, exists and is …

Persistent link: https://www.econbiz.de/10010597501

Analyses of retirement benefits with options

Lin, Chung-Gee; Yang, Wei-Ning; Chen, Shu-Chuan - In: Economic Modelling 36 (2014) C, pp. 130-135

This study applies the contingent claim approach to evaluate retirement benefits with the options of choosing the maximum defined benefit and defined contribution pension plans. A least-squares Monte Carlo simulation values complex retirement benefits that feature the properties of multiple...

Persistent link: https://www.econbiz.de/10010729822