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This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to 2011:7 for Naira/US dollar return and from 2004:1 to 2011:7 for Naira/British Pounds and Naira/Euro returns. The study compare estimates of variants of GARCH models with break...
Persistent link: https://www.econbiz.de/10011482587
We apply a recently proposed Bayesian model selection technique, known as stochastic model specification search, for characterising the nature of the trend in macroeconomic time series. We illustrate that the methodology can be quite successfully applied to discriminate between stochastic and...
Persistent link: https://www.econbiz.de/10011496128
The work makes two contributions to the literature on dynamic house prices. First, a house price ripple in cycles from Modern to Older dwellings is revealed and, second, as New housing is shown to have lower volatility than the other two. Using spectral analysis, it is argued that there is a 7...
Persistent link: https://www.econbiz.de/10011559143
recurrence equations, we establish stationarity, ergodicity, and filter invertibility in the multivariate setting using …
Persistent link: https://www.econbiz.de/10013427597
This article is our personal perspective on the IPS test and the subsequent developments of unit root and cointegration tests in dynamic panels with and without cross-section dependence. In this note, we discuss the main idea behind the test and the publication process that led to Im, Pesaran...
Persistent link: https://www.econbiz.de/10014290138
In this paper, we test cointegration between GDP and Public consumption of the Republic of North Macedonia, for quarterly data of twenty years' time series (2000Q1-2019Q4). We present results of two methods for cointegration test: first, residual regression test table and second, Engle & Granger...
Persistent link: https://www.econbiz.de/10014465803
This paper proposes and analyzes a stationary equilibrium model for a competitive industry which endogenously determines the carbon price necessary to achieve a given emission target. In the model, firms are identified by their level of technology and make production, entry, and abatement...
Persistent link: https://www.econbiz.de/10014494914
extransition economies. In the first phase of the empirical part of the research, the authors tested the stationarity of the real …
Persistent link: https://www.econbiz.de/10014520660
and relationships with previously proposed specifications are discussed and stationarity conditions are derived. An …
Persistent link: https://www.econbiz.de/10010317385
been proposed to induce stationarity. This paper presents a quantitative comparison of these alternative approaches. Five … asset markets; (5) A model without stationarity-inducing features. The main finding of the paper is that all models deliver …
Persistent link: https://www.econbiz.de/10010318376