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Testing linear regression model with AR(1) errors against a first-order dynamic linear regression model with white noise errors: A point optimal testing approach

Sriananthakumar, Sivagowry - In: Economic Modelling 33 (2013) C, pp. 126-136

We know very little about the performance of point optimal (PO) and approximate point optimal (APO) tests in the presence of unavoidable nuisance parameters. Because marginal likelihood based tests are said to perform well in the presence of unavoidable nuisance parameters, this paper compares...

Persistent link: https://www.econbiz.de/10010737998

Adaptive ARFIMA models with applications to inflation

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

simple adaptive modification of the basic ARFIMA model, which uses a flexible Fourier form to allow for a time varying … effects. The estimated adaptive ARFIMA models generally have less persistent long memory parameters than previous studies …

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

Bull or bear markets: A wavelet dynamic correlation perspective

Benhmad, François - In: Economic Modelling 32 (2013) C, pp. 576-591

In this paper, we contribute to the literature on the international stock market co-movements and contagion, especially during the recent subprime crisis, by researching the interconnections between international stock markets in time-frequency domain.

Persistent link: https://www.econbiz.de/10010664401

Investigating regional house price convergence in the United States: Evidence from a pair-wise approach

Holmes, Mark J.; Otero, Jesús; Panagiotidis, Theodore - In: Economic Modelling 28 (2011) 6, pp. 2369-2376

In this paper we examine long-run house price convergence across US states using a novel econometric approach advocated by Pesaran (2007) and Pesaran et al. (2009). Our empirical modelling strategy employs a probabilistic test statistic for convergence based on the percentage of unit root...

Persistent link: https://www.econbiz.de/10011048876

The changing international transmission of U.S. monetary policy shocks: Is there evidence of contagion effect on OECD countries

Kazi, Irfan Akbar; Wagan, Hakimzadi; Akbar, Farhan - In: Economic Modelling 30 (2013) C, pp. 90-116

We study the changing international transmission of U.S. monetary policy shocks to 14 OECD countries over the period 1981Q1–2010Q4. The U.S. monetary policy shock is defined as unexpected change in Effective Federal Funds Rate (FFR). We use a time varying parameter factor augmented VAR...

Persistent link: https://www.econbiz.de/10010608282

Modeling nonlinear Granger causality between the oil price and U.S. dollar: A wavelet based approach

Benhmad, François - In: Economic Modelling 29 (2012) 4, pp. 1505-1514

In this paper, we use a wavelet approach to study the linear and nonlinear Granger causality between the real oil price and the real effective U.S. Dollar exchange rate. Instead of analyzing the time series at their original level, as it is usually done, we first decompose the two macroeconomic...

Persistent link: https://www.econbiz.de/10010577110

Stylized facts of business cycles in a transition economy in time and frequency

Caraiani, Petre - In: Economic Modelling 29 (2012) 6, pp. 2163-2173

We discuss the properties of business cycles in Romania between 1991 and 2011 using a wavelets based method. We compare …

Persistent link: https://www.econbiz.de/10010588234

Time-spectral density and wavelets approaches. Comparative study. Applications to SP500 returns and US GDP

Ahamada, Ibrahim; Jolivaldt, Philippe - In: Economic Modelling 31 (2013) C, pp. 460-466

based on windowed-estimate of the time-spectral density, while the second method is the wavelets theory. We show that the … wavelets approach is particularly powerful to detect changes in cyclical properties, while the first approach fails in such a … case. In contrast, the wavelets method fails to capture time–interaction effects, while the first approach is more powerful …

Persistent link: https://www.econbiz.de/10010636253

Decomposing time-frequency relationship between producer price and consumer price indices in Romania through wavelet analysis

Tiwari, Aviral Kumar; Mutascu, Mihai; Andries, Alin Marius - In: Economic Modelling 31 (2013) C, pp. 151-159

This study analyses Granger-causality between the return series of CPI and PPI (i.e., inflation measured by CPI and PPI) for Romania, by using monthly data covering the period of 1991m1 to 2011m11. To analyse the issue in depth, this study decomposes the time-frequency relationship between CPI-...

Persistent link: https://www.econbiz.de/10010636265

Oil price and exchange rates: A wavelet based analysis for India

Tiwari, Aviral Kumar; Dar, Arif Billah; Bhanja, Niyati - In: Economic Modelling 31 (2013) C, pp. 414-422

In this paper, we explore linear and nonlinear Granger causalities between oil price and the real effective exchange rate of the Indian currency, known as ‘rupee’. First, we apply the standard time domain approach, but fail to find any causal relationship. So, we decompose the two series at...

Persistent link: https://www.econbiz.de/10010636280