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Although the share of service sector in Côte d’Ivoire’s real GDP is higher than other sectors, it is widely recognized that the Ivorian economy is mainly based on agricultural sector and thus the fluctuations in this ‘motor’ sector could have a huge impact on the growth process of the...
Persistent link: https://www.econbiz.de/10005041956
Changes in the seasonal patterns of macroeconomic time series may be due to the effects of business cycle fluctuations or to technological and institutional change or both. We examine the relative importance of these two sources of change in seasonality for quarterly industrial production series...
Persistent link: https://www.econbiz.de/10001600051
In this paper I introduce quantile spectral densities that summarize the cyclical behavior of time series across their whole distribution by analyzing periodicities in quantile crossings. This approach can capture systematic changes in the impact of cycles on the distribution of a time series...
Persistent link: https://www.econbiz.de/10014175793
The standard linear technique of impulse response function analysis is extended to the nonlinear case by defining a generalized impulse response function. Measures of persistence and asymmetry in response are constructed for a wide class of time series
Persistent link: https://www.econbiz.de/10014193860
This paper sets out the theoretical foundations for continuous-time signal extraction in econometrics. Continuous-time modeling gives an effective strategy for treating stock and flow data, irregularly spaced data, and changing frequency of observation. We rigorously derive the optimal...
Persistent link: https://www.econbiz.de/10014216524
The chapter deals with parametric models for the measurement of the business cycle in economic time series. It presents univariate methods based on parametric trend - cycle decompositions and multivariate models featuring a Phillips type relationship between the output gap and inflation and the...
Persistent link: https://www.econbiz.de/10014219219
Various methods are available to extract the "business cycle component" of a given time series variable. These methods may be derived as solutions to frequency extraction or signal extraction problems and differ in both their handling of trends and noise and their assumptions about the ideal...
Persistent link: https://www.econbiz.de/10014225230
I propose a test of symmetry for a stationary time series based on the difference between the dispersion above the central tendency of the series with that below it. The test has many attractive features: it is applicable to dependent processes, it has a familiar form, it can be implemented...
Persistent link: https://www.econbiz.de/10014124601
A large set of macroeconomic variables have been suggested as equity risk premium predictors in the literature. This paper proposes a forecasting approach for the equity risk premium with two novel features. First, individual month-ahead forecasts are obtained from parsimonious threshold...
Persistent link: https://www.econbiz.de/10012913585
We investigate the evidence for structural breaks in the parameters of autoregressive models of U.S. post-war macroeconomic time series. There is substantial model uncertainty associated with such models, including uncertainty related to lag selection, the number of structural changes, and the...
Persistent link: https://www.econbiz.de/10012908055