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Point Optimal Testing with Roots That Are Functionally Local to Unity

Bykhovskaya, Anna - 2018

work, establishing power properties for unit root and cointegration tests, assisting the construction of uniform confidence …

Persistent link: https://www.econbiz.de/10012932857

Package AdvEMDpy : Algorithmic Variations of Empirical Mode Decomposition in Python

van Jaarsveldt, Cole; Ames, Matthew; Peters, Gareth; … - 2021

This paper introduces a new Empirical Mode Decomposition (EMD) Python package called AdvEMDpy that is demonstrably more flexible and which generalises in numerous important ways the existing EMD packages available in Python, R, and MATLAB. The extensions introduced by this AdvEMDpy package both...

Persistent link: https://www.econbiz.de/10013323403

A partially linear approach to modelling the dynamics of spot and futures prices

Gaul, Jürgen; Theissen, Erik - 2012 - This version: August 2012

This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error correction model is proposed where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. The model is estimated using data on the DAX index...

Persistent link: https://www.econbiz.de/10009750074

Residual log-periodogram inference for long-run relationships

Hassler, Uwe; Mármol, Francesc; Velasco, Carlos - 2002

Persistent link: https://www.econbiz.de/10001751669

Structural Nonparametric Cointegrating Regression

Wang, Qiying; Phillips, Peter C. B. - 2008

Nonparametric estimation of a structural cointegrating regression model is studied. As in the standard linear cointegrating regression model, the regressor and the dependent variable are jointly dependent and contemporaneously correlated. In nonparametric estimation problems, joint dependence is...

Persistent link: https://www.econbiz.de/10014217972

Local Whittle Analysis of Stationary Fractional Cointegration

Nielsen, Morten Ørregaard - 2002

of the errors, and the cointegration vector. The estimator is semiparametric in the sense that it employs local … matrix. Thus, the estimates of the integration orders are asymptotically independent of the estimate of the cointegration …

Persistent link: https://www.econbiz.de/10014116818

Inflation Targeting : New Evidence from Fractional Integration and Cointegration

Canarella, Giorgio - 2017

We investigate inflation persistence in six inflation targeting (IT) countries from the global-economy perspective. This view maintains that inflation persistence in IT countries has declined mainly because of the decline of inflation persistence in the global economy. We provide empirical...

Persistent link: https://www.econbiz.de/10012968413

Model Specification between Parametric and Nonparametric Cointegration

Gao, Jiti - 2012

This paper considers a general model specification between a parametric co-integrating model and a nonparametric co-integrating model in a multivariate regression model, which involves a univariate integrated time series regressor and a vector of stationary time series regressors. A new and...

Persistent link: https://www.econbiz.de/10013101176

Residual log-periodogram inference for long-run relationships

Hassler, Uwe; Mármol, Francesc; Velasco, Carlos - 2002

analyze the benefits of a pooled version of the estimate. The empirical applicability of our general cointegration test is …

Persistent link: https://www.econbiz.de/10011524765

Asymptotic Normality of Narrow-Band Least Squares in the Stationary Fractional Cointegration Model and Volatility Forecasting

Christensen, Bent Jesper; Nielsen, Morten Ørregaard - 2005

We consider semiparametric frequency domain analysis of cointegration between long memory processes, i.e. fractional … cointegration, allowing derivation of useful long-run relations even among stationary processes. The approach is due to Robinson …-run dynamics. We derive the asymptotic distribution theory for the FDLS estimator of the cointegration vector in the stationary …

Persistent link: https://www.econbiz.de/10014067273