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Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach

Haldrup, Niels; Jansson, Michael - 1999

cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …

Persistent link: https://www.econbiz.de/10010324535

Cross- and Auto-Correlation Effects arising from Averaging: The Case of US Interest Rates and Equity Duration

Hallerbach, Winfried G. - 2000

Most of the available monthly interest data series consist of monthlyaverages of daily observations. It is well-known that this averaging introduces spurious autocorrelation effectsin the first differences of the series. It isexactly this differenced series we are interested in when...

Persistent link: https://www.econbiz.de/10010324663

Bias Correction in a Stable AD(1,1) Model

van Giersbergen, Noud P.A. - 2001

This paper compares the behaviour of a bias-corrected estimator assuming strongly exogenous regressors to the behaviour of a bias-corrected estimator assuming weakly exogenous regressors, when in fact the marginal model contains a feedback mechanism. To this end, the effects of a feedback...

Persistent link: https://www.econbiz.de/10010324780

On Conditional Density Estimation

de Gooijer, Jan G.; Zerom, Dawit - 2002

With the aim to mitigate the possibleproblem of negativity in the estimation of the conditionaldensity function, we introduce a so-called re-weightedNadaraya-Watson (RNW) estimator. The proposed RNWestimator is constructed by a slight modificationof the well-known Nadaraya-Watson...

Persistent link: https://www.econbiz.de/10010324908

Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models

Banachewicz, Konrad; Lucas, André - 2007

Recent models for credit risk management make use of Hidden Markov Models (HMMs). The HMMs are used to forecast quantiles of corporate default rates. Little research has been done on the quality of such forecasts if the underlying HMM is potentially mis-specified. In this paper, we focus on...

Persistent link: https://www.econbiz.de/10010325238

Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails

Diks, Cees; Panchenko, Valentyn; van Dijk, Dick - 2008

We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. By construction, existing scoring rules based on weighted...

Persistent link: https://www.econbiz.de/10010326053

Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning

Christopeit, Norbert - 2010

In this paper we consider regression models with forecast feedback. Agents' expectations are formed via the recursive estimation of the parameters in an auxiliary model. The learning scheme employed by the agents belongs to the class of stochastic approximation algorithms whose gain sequence is...

Persistent link: https://www.econbiz.de/10013139606

On an Estimation Method for an Alternative Fractionally Cointegrated Model

Carlini, Federico; Lasak, Katarzyna - 2014

In this paper we consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than models proposed in Granger (1986) and Johansen (2008, 2009). We discuss the identification issues of the model of Avarucci (2007), following...

Persistent link: https://www.econbiz.de/10014146014