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Adaptive ARFIMA models with applications to inflation

Baillie, Richard T.; Morana, Claudio - In: Economic Modelling 29 (2012) 6, pp. 2451-2459

Many previous analyses of inflation have used either long memory or nonlinear time series models. This paper suggests a … simple adaptive modification of the basic ARFIMA model, which uses a flexible Fourier form to allow for a time varying … also that the new model can be efficiently estimated by a QMLE approach. We investigate monthly CPI inflation series for …

Persistent link: https://www.econbiz.de/10010588218

Adaptive ARFIMA models with applications to inflation

Baillie, Richard; Morana, Claudio - In: Economic modelling 29 (2012) 6, pp. 2451-2459

Persistent link: https://www.econbiz.de/10009673677

Long memory and structural change in the G7 inflation dynamics

Belkhouja, Mustapha; Mootamri, Imene - In: Economic modelling 54 (2016), pp. 450-462

Persistent link: https://www.econbiz.de/10011642242

The comparison of optimization algorithms on unit root testing with smooth transition

Omay, Tolga - Volkswirtschaftliche Fakultät, … - 2012

The aim of this study is to search for a better optimization algorithm in applying unit root tests that inherit nonlinear models in the testing process. The algorithms analyzed include Broyden, Fletcher, Goldfarb and Shanno (BFGS), Gauss-Jordan, Simplex, Genetic, and Extensive Grid-Search. The...

Persistent link: https://www.econbiz.de/10011109468

Potential Pitfalls in Determining Multiple Structural Changes with an Application to Purchasing Power Parity

Prodan, Ruxandra - Econometric Society - 2004

Tests for structural change play an important role in macroeconomics and international finance. We investigate the empirical performance of the Bai and Perron (1998) multiple structural change tests and show that the use of their critical values may cause severe size distortions in persistent...

Persistent link: https://www.econbiz.de/10005702663

Forecasting long memory time series under a break in persistence

Heinen, Florian; Sibbertsen, Philipp; Kruse, Robinson - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2009

We consider the problem of forecasting time series with long memory when the memory parameter is subject to a structural break. By means of a large-scale Monte Carlo study we show that ignoring such a change in persistence leads to substantially reduced forecasting precision. The strength of...

Persistent link: https://www.econbiz.de/10008472006

Forecasting long memory time series under a break in persistence

Heinen, Florian; Sibbertsen, Philipp; Kruse, Robinson - School of Economics and Management, University of Aarhus - 2009

Persistent link: https://www.econbiz.de/10008472104

Timing Structural Change : A Conditional Probabilistic Approach

DeJong, David N.; Liesenfeld, Roman; Richard, Jean-Francois - 2003

We propose a strategy for assessing structural stability in time-series frameworks when potential change dates are unknown. Existing tests for structural stability have proven to be effective in detecting the presence of structural change, but procedures for identifying timing are highly...

Persistent link: https://www.econbiz.de/10014076106

Detecting Structural Change with Heteroskedasticity

Ahmed, Mumtaz - 2019

The hypothesis of structural stability that the regression coefficients do not change over time is central to all applications of linear regression models. It is rather surprising that existing theory as well as practice focuses on testing for structural change under homoskedasticity – that...

Persistent link: https://www.econbiz.de/10012900876

Long-lasting economic effects of pandemics : evidence on growth and unemployment

Rodríguez-Caballero, C. Vladimir; Vera-Valdés, J. Eduardo - In: Econometrics : open access journal 8 (2020) 3/37, pp. 1-16

This paper studies long economic series to assess the long-lasting effects of pandemics. We analyze if periods that cover pandemics have a change in trend and persistence in growth, and in level and persistence in unemployment. We find that there is an upward trend in the persistence level of...

Persistent link: https://www.econbiz.de/10012295989