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Common Trends and Common Cycles in Canadian Sectoral Output

Barillas, Francisco; Schleicher, Christoph - Bank of Canada - 2003

The authors examine evidence of long- and short-run co-movement in Canadian sectoral output data. Their framework builds on a vector-error-correction representation that allows them to test for and compute full-information maximum-likelihood estimates of models with codependent cycle...

Persistent link: https://www.econbiz.de/10005536877

Unit Roots, Polynomial Transformations and the Environmental Kuznets Curve

Liu, Gang; Skjerpen, Terje; Swensen, Anders Rygh; … - Statistisk Sentralbyrå, Government of Norway - 2006

Time-series regressions including non-linear transformations of an integrated variable are not uncommon in various fields of economics. In particular, within the Environmental Kuznets Curve (EKC) literature, where the effect on the environment of income levels is investigated, it is standard...

Persistent link: https://www.econbiz.de/10004980867

Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models

Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - Tinbergen Instituut - 2014

simulation evidence for stochastic volatility and stochastic intensity models. For our empirical study, we analyse the …

Persistent link: https://www.econbiz.de/10011256750

Bandwidth selection for continuous-time Markov processes

Bandi, Federico; Corradi, Valentina; Moloche, Guillermo - Volkswirtschaftliche Fakultät, … - 2009

case, for instance, for stochastic volatility modelling by virtue of preliminary high-frequency spot variance estimates …

Persistent link: https://www.econbiz.de/10011113065

Common features and stylized facts in Turkish macroeconomy

Payaslioglu, Cem - In: Journal of Developing Areas 43 (2009) 1, pp. 155-176

The importance of the common features in macroeconomics particularly in real business cycle studies is by now widely understood and manifests itself in numerous studies. On the other hand, there has been very few works related to developing countries. This paper attempts to fill this gap, at...

Persistent link: https://www.econbiz.de/10011213091

Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte

Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - Frankfurt School of Finance and Management - 2014

estimation of the volatility in the market plays a key role in quantifying market risk exposure correctly. This paper presents … GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models … time-varying volatility. In this paper, the estimation of conditional volatility is applied to Value at Risk measurement …

Persistent link: https://www.econbiz.de/10010985133

An empirical estimation for mean-reverting coal prices with long memory

Sun, Qi; Xu, Weijun; Xiao, Weilin - In: Economic Modelling 33 (2013) C, pp. 174-181

In this paper we discuss the calibration issues of power models built on mean-reverting processes combined with long memory. The unknown parameters of fractional mean-reversion processes are estimated by a hybrid estimation method, which is built upon the marriage of the quadratic variation and...

Persistent link: https://www.econbiz.de/10011048787

Cost of Misspecification in Break-Model Unit-Root Tests

Maican, Florin G.; Sweeney, Richard J. - Nationalekonomiska institutionen, Handelshögskolan - 2012

This paper examines power issues for the ADF and four break models (Perron 1989, Zivot and Andrews 1992) when the DGP corresponds to one of the break models. Choosing to test an incorrect break model can but need not greatly reduce the probability of rejecting the null. Break points that are...

Persistent link: https://www.econbiz.de/10011019111

Rejection Probabilities for a Battery of Unit-Root Tests

Maican, Florin G.; Sweeney, Richard J. - Nationalekonomiska institutionen, Handelshögskolan - 2013

If the researcher tests each model in a battery at the a % significance level, the probability that at least one test rejects is generally larger than a %. For five unit-root models, this paper uses Monte Carlo simulation and the inclusion-exclusion principle to show for a %=5% for each test,...

Persistent link: https://www.econbiz.de/10011019120

Critical Values for Cointegration Tests

MacKinnon, James G. - Economics Department, Queen's University - 2010

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these tables are necessarily based on computer simulations, they are much more accurate than those previously available. The results of the simulation experiments are summarized by...

Persistent link: https://www.econbiz.de/10008556270