Showing 1 - 10 of 293
In order to construct prediction intervals without the combersome--and typically unjustifiable--assumption of Gaussianity, some form of resampling is necessary. The regression set-up has been well-studies in the literature but time series prediction faces additional difficulties. The paper at...
Persistent link: https://www.econbiz.de/10010817515
It is shown that the limiting distribution of the augmented Dickey-Fuller (ADF) test under the null hypothesis of a unit root is valid under a very general set of assumptions that goes far beyond the linear AR (∞) process assumption typically imposed. In essence, all that is required is...
Persistent link: https://www.econbiz.de/10010735447
A new resampling procedure, the continuous-path block bootstrap, is proposed in the context of testing for integrated (unit root) time series. The continuous-path block bootstrap (CBB) is a nonparametric procedure that successfully generates unit root integrated pseudo time series retaining the...
Persistent link: https://www.econbiz.de/10010536416
The problem of prediction is revisited with a view towards going beyond the typical nonparametric setting and reaching a fully model-free environment for predictive inference, i.e., point predictors and predictive intervals. A basic principle of model-free prediction is laid out based on the...
Persistent link: https://www.econbiz.de/10010676431
We present results from an extensive study on the benefits of rolling window and model averaging. Building on the recent work on rolling window averaging by Pesaran et al (2010, 2009) and on exchange rate forecasting by Molodtsova and Papell (2009), we explore whether rolling window averaging...
Persistent link: https://www.econbiz.de/10011185983
We investigate the behavior of consumer confidence around national elections in the EU-15 countries during 1985:1-2007:3. Consumer confidence increases before the date of elections and falls subsequently by almost the same amount. It is able to predict the strength of the performance of the...
Persistent link: https://www.econbiz.de/10005791524
We present results from an extensive study on the benefits of rolling window and model averaging. Building on the recent work on rolling window averaging by Pesaran et al (2010, 2009) and on exchange rate forecasting by Molodtsova and Papell (2009), we explore whether rolling window averaging...
Persistent link: https://www.econbiz.de/10008917753
This paper proposes a nonparametric test for conditional independence that is easy to implement, yet powerful in the sense that it is consistent and achieves root-n local power. The test statistic is based on an estimator of the topological "distance" between restricted and unrestricted...
Persistent link: https://www.econbiz.de/10011130668
The well-known ARCH/GARCH models with normal errors account only partly for the degree of heavy tails empirically found in the distribution of financial returns series. Instead of resorting to an arbitrary nonnormal distribution for the ARCH/GARCH residuals we propose a different viewpoint via a...
Persistent link: https://www.econbiz.de/10011130669
This paper examines a contractual settingwith unverifiable investment and a durable trading opportunity, in which trade can take place in any one of an infinite number of periods. The contractual setting features cross-investment, meaning that the seller’s investment affects the...
Persistent link: https://www.econbiz.de/10011130670