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Nonlinear Models for U.K. Macroeconomic Time Series
Ãcal, Nadir - In: Studies in Nonlinear Dynamics & Econometrics 4 (2000) 3, pp. 123-135
nonlinearity according to Diebold and Mariano's (1995) test of equal forecast accuracy. It is worthy of note that my modeling …
Persistent link: https://www.econbiz.de/10005584874
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Nonlinearities and outliers: robust specification of STAR models
Franses, Philip Hans; van Dijk, Dick; Escribano, A. - Faculteit der Economische Wetenschappen, Erasmus … - 1998
Outliers and nonlinearity may easily be mistaken. This paper uses Monte Carlo methods to examine and compare the …
Persistent link: https://www.econbiz.de/10010837988
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Nonlinearities and outliers: robust specification of STAR models
Escribano, A.; Franses, Ph.H.B.F.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 1998
Outliers and nonlinearity may easily be mistaken. This paper uses Monte Carlo methods to examine and compare the …
Persistent link: https://www.econbiz.de/10008584751
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Effects of Commodity Price Shocks on Inflation: A Cross Country Analysis
Sekine, Atsushi; Tsuruga, Takayuki - Graduate School of Economics, Kyoto University - 2014
Using local projections, this paper investigates eects of commodity price shocks on in ation. We estimate impulse responses of the consumer price indexes (CPIs) to a commodity price shock, based on a monthly panel consisting of 120 countries. Our results from the local projections suggest that...
Persistent link: https://www.econbiz.de/10011149452
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Effects of Commodity Price Shocks on Inflation:A Cross-Country Analysis
Sekine, Atsushi; Tsuruga, Takayuki - Faculty of Economics, University of Tokyo - 2014
Since 2000s, large fluctuations in non-energy commodity prices have become a concern among policymakers about price stability. Using local projections, this paper investigates the effects of commodity price shocks on inflation. We estimate impulse responses of the consumer price indexes (CPIs)...
Persistent link: https://www.econbiz.de/10011099534
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Exchange rate pass-through and inflation: A nonlinear time series analysis
Shintani, Mototsugu; Terada-Hagiwara, Akiko; Yabu, Tomoyoshi - In: Journal of International Money and Finance 32 (2013) C, pp. 512-527
This paper investigates the relationship between the exchange rate pass-through (ERPT) and inflation by estimating a nonlinear time series model. Based on a simple theoretical model of ERPT determination, we show that the dynamics of ERPT can be well approximated by a class of smooth transition...
Persistent link: https://www.econbiz.de/10010594673
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Exchange Rate Pass-Through and Inflation: A Nonlinear Time Series Analysis
Shintani, Mototsugu; Terada-Hagiwara, Akiko; Yabu, Tomoyoshi - Vanderbilt University Department of Economics - 2012
This paper investigates the relationship between the exchange rate pass-through (ERPT) and inflation by estimating a nonlinear time series model. Based on a simple theoretical model of ERPT determination, we show that the dynamics of ERPT can be well approximated by a class of smooth transition...
Persistent link: https://www.econbiz.de/10010550748
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Exchange rate pass-through and inflation: a nonlinear time series analysis
Shintani, Mototsugu; Terada-Hagiwara, Akiko; Yabu, Tomoyoshi - Vanderbilt University Department of Economics - 2012
This paper investigates the relationship between the exchange rate pass-through (ERPT) and inflation by estimating a nonlinear time series model. Based on a simple theoretical model of ERPT determination, we show that the dynamics of ERPT can be well approximated by a class of smooth transition...
Persistent link: https://www.econbiz.de/10010875562
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On the power and size properties of cointegration tests in the light of high-frequency stylized facts
Krauss, Christopher; Herrmann, Klaus; Teis, Stefan - 2015
This paper first establishes a selection of stylized facts for high-frequency cointegration processes in the European equity market. Empirical evidence is given by one minute-binned transaction data of all DAX 30 constituents as traded on Deutsche Börse's Xetra market in 2014. A methodology is...
Persistent link: https://www.econbiz.de/10011341046
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An In-Sample and Out-of-Sample Empirical Investigation of the Nonlinearity in House Prices of South Africa
Balcilar, Mehmet; Gupta, Rangan; Shah, Zahra - Department of Economics, Faculty of Economic and … - 2010
-middle, medium-middle, small-middle, luxury and affordable, exhibits non-linearity based on smooth transition autoregressive (STAR …) models estimated using quarterly data covering the period of 1970:Q2 to 2009:Q3. We find overwhelming evidence of non-linearity … for non-linearity by comparing one- to four-quarters-ahead out-of-sample forecasts of the non-linear time series model …
Persistent link: https://www.econbiz.de/10008486900