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The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series

van Dijk, Dick; Strikholm, B.; Terasvirta, T. - Faculteit der Economische Wetenschappen, Erasmus … - 2001

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 industrial production series of the G7...

Persistent link: https://www.econbiz.de/10010731731

Modelling asymmetric persistence over the business cycle

Franses, Philip Hans; Paap, Richard - Faculteit der Economische Wetenschappen, Erasmus … - 1998

We address the issue of time varying persistence of shocks to macroeconomic time series variables by proposing a new and parsimonious time series model. Our model assumes that this time varying persistence depends on a linear combination of lagged explanatory variables, where this combination...

Persistent link: https://www.econbiz.de/10010731844

Modeling the impact of forecast-based regime switches on macroeconomic time series

Paap, Richard; Bel, Bel, K. - Faculteit der Economische Wetenschappen, Erasmus … - 2013

Forecasts of key macroeconomic variables may lead to policy changes of governments, central banks and other economic agents. Policy changes in turn lead to structural changes in macroeconomic time series models. To describe this phenomenon we introduce a logistic smooth transition autoregressive...

Persistent link: https://www.econbiz.de/10010837733

A multivariate STAR analysis of the relationship between money and output

van Dijk, Dick; Franses, Philip Hans; Rothman, P. - Faculteit der Economische Wetenschappen, Erasmus … - 1999

Using a standard 4-variable linear vector error correction model (VECM), we first show that the null hypothesis of linearity can be strongly rejected against the alternative of smooth transition autoregressive nonlinearity. An important result from this stage of the analysis is that the...

Persistent link: https://www.econbiz.de/10010837854

Structure and Asymptotic theory for Nonlinear Models with GARCH Errors

McAleer, Michael; Chan, Chan, F.; Medeiros, Medeiros, M.C. - Faculteit der Economische Wetenschappen, Erasmus … - 2011

Nonlinear time series models, especially those with regime-switching and conditionally heteroskedastic errors, have become increasingly popular in the economics and finance literature. However, much of the research has concentrated on the empirical applications of various models, with little...

Persistent link: https://www.econbiz.de/10010837896

On bootstrap sample size in extreme value theory

Geluk, J.L.; de Haan, de Haan, L.F.M. - Faculteit der Economische Wetenschappen, Erasmus … - 2002

consistently, the bootstrap sample size needs to be of smaller order than the original sample size. See Jun Shao and Dongsheng Tu … (1995), Ex. 3.9,p. 123. We show that the same is true if we use the bootstrap for estimating an intermediate quantile. …

Persistent link: https://www.econbiz.de/10010731927

Using a bootstrap method to choose the sample fraction in tail index estimation

Danielsson, J.; de Haan, de Haan, L.F.M.; Peng, Peng, L.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2000

a two step subsample bootstrap method. This method adaptively determines the sample fraction that minimizes the …

Persistent link: https://www.econbiz.de/10010837770

A bootstrap-based method to achieve optimality on estimating the extreme-value index

Draisma, Draisma, G.; de Haan, de Haan, L.F.M.; Peng, … - Faculteit der Economische Wetenschappen, Erasmus … - 2000

Estimators of the extreme-value index are based on a set of upper order statistics. We present an adaptive method to choose the number of order statistics involved in an optimal way, balancing variance and bias components. Recently this has been achieved for the similar but somewhat less...

Persistent link: https://www.econbiz.de/10010837846

Testing for vector autoregressive dynamics under heteroskedasticity

Hafner, Christian Matthias; Herwartz, H. - Faculteit der Economische Wetenschappen, Erasmus … - 2002

In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which … is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any … Monte Carlo investigation empirical size and power properties of the new method are illustrated. We compare the bootstrap …

Persistent link: https://www.econbiz.de/10010837977