Similar Search Results

Identification, Estimation and Specification in a Class of Semi-Linear Time Series Models

Gao, Jiti - Volkswirtschaftliche Fakultät, … - 2012

In this paper, we consider some identification, estimation and specification problems in a class of semi-linear time series models. Existing studies for the stationary time series case have been reviewed and discussed. We also establish some new results for the integrated time series case. In...

Persistent link: https://www.econbiz.de/10011112804

Unit Roots and Smooth Transitions: A Replication

Kulaksizoglu, Tamer - Volkswirtschaftliche Fakultät, … - 2015

This paper replicates Leybourne et al. (1998), who propose a Dickey-Fuller type test for unit root that is most appropriate when there is reason to suspect the possibility of deterministic structural change in the series. We find that our replicated results are quite similar to the authors'...

Persistent link: https://www.econbiz.de/10011156982

The long-run relationship between savings and investment in oil-exporting developing countries: A case study of the Gulf Arab States

Basher, Syed Abul; Fachin, Stefano - Volkswirtschaftliche Fakultät, … - 2011

The relationship between national saving and investment over the long term is examined for six Gulf Arab oil-exporting developing countries -- Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and the United Arab Emirates. We show that, provided some large outliers are properly accounted for, long-run...

Persistent link: https://www.econbiz.de/10008854401

Discrimination between deterministic trend and stochastic trend processes

Caiado, Jorge; Crato, Nuno - Volkswirtschaftliche Fakultät, … - 2005

Most of economic and financial time series have a nonstationary behavior. There are different types of nonstationary processes, such as those with stochastic trend and those with deterministic trend. In practice, it can be quite difficult to distinguish between the two processes. In this paper,...

Persistent link: https://www.econbiz.de/10005626844

Rhe Life-Cycle of Agro Tourist Enterprises

Dritsaki, Chaido - Volkswirtschaftliche Fakultät, … - 2008

This paper analyzes the supply of an important form of non urban tourism, the so-called agro tourism, together with providing a detailed literature review of the various stages of a tourist product life cycle. A theoretical econometric model of these life cycle phases is then presented. Finally,...

Persistent link: https://www.econbiz.de/10008646792

Inference in non stationary asymmetric garch models

Francq, Christian; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2013

presence of possible explosiveness. We study the explosive behavior of volatility when the strict stationarity condition is not … parameter, including the power but without the intercept, when strict stationarity does not hold. Two important issues can be … tested in this framework: asymmetry and stationarity. The tests exploit the existence of a universal estimator of the …

Persistent link: https://www.econbiz.de/10011114151

Time series properties of ARCH processes with persistent covariates

Han, Heejoon; Park, Joon Y. - Volkswirtschaftliche Fakultät, … - 2006

We consider ARCH processes with persistent covariates and provide asymptotic theories that explain how such covariates affect various characteristics of volatility. Specifically, we propose and study a volatility model, named ARCH-NNH model, that is an ARCH(1) process with a nonlinear function...

Persistent link: https://www.econbiz.de/10005619670

Strict stationarity testing and estimation of explosive ARCH models

Francq, Christian; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2010

tests developed for the ARCH(1) model are able to detect non-stationarity in more general GARCH models. A numerical … stationarity constraints, and considers applications to testing problems. The estimator is unrestricted, in the sense that the … the estimator of the ARCH coefficient is obtained at the boundary of the stationarity region, but this estimator remains …

Persistent link: https://www.econbiz.de/10008560969

The seasonal KPSS Test: some extensions and further results

El Montasser, Ghassen - Volkswirtschaftliche Fakultät, … - 2014

The literature distinguishes finite sample studies of seasonal stationarity quite less intensely than it shows for …

Persistent link: https://www.econbiz.de/10011107500

The seasonal KPSS Test: some extensions and further results

El Montasser, Ghassen - Volkswirtschaftliche Fakultät, … - 2012

The literature distinguishes finite sample studies of seasonal stationarity quite less intensely than it shows for …

Persistent link: https://www.econbiz.de/10011259452