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Measuring Persistence in Aggregate Output : Arma Models, Fractionally Integrated Arma Models and Nonparametric Procedures
Hauser, Michael A.; Poetscher, Benedikt M.; … - 1999
Econometric issues in the estimation of persistence in macroeconomic time series are considered. In particular, the … that ARFIMA models are inappropriate for the purpose of estimating persistence. Furthermore, some of the criticism leveled …. Methodological issues arising in the estimation of ARMA models that are relevant to estimation of persistence are discussed. It is …
Persistent link: https://www.econbiz.de/10014193102
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Persistence in Emerging Market Stock Returns: Empirical Evidence from Six Stock Markets
Ozdemir, Zeynel Abidin - In: Istanbul Stock Exchange Review 8 (2008) 31, pp. 19-30
This paper examines the persistence in stock return series based on the stock price index for six countries. The order … of fractional differencing is estimated using approximate maximum likelihood method. Persistence of each series is … show no significant persistence. Eighty percent of the effect of the shock on the value of the series disappears after two …
Persistent link: https://www.econbiz.de/10010757701
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Persistence in Emerging Market Stock Returns: Empirical Evidence from Six Stock Markets
Ozdemir, Zeynel Abidin - In: Istanbul Stock Exchange Review 8 (2006) 31, pp. 19-30
This paper examines the persistence in stock return series based on the stock price index for six countries. The order … of fractional differencing is estimated using approximate maximum likelihood method. Persistence of each series is … show no significant persistence. Eighty percent of the effect of the shock on the value of the series disappears after two …
Persistent link: https://www.econbiz.de/10010764153
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The persistence of economic sentiment : a trip down memory lane
Sorić, Petar; Lolić, Ivana; Matošec, Marina - In: Journal of economic interaction and coordination 18 (2023) 2, pp. 371-395
Persistent link: https://www.econbiz.de/10014253294
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Periodic seasonal Reg-ARFIMA-GARCH models for daily electricity spot prices
Koopman, Siem Jan; Ooms, Marius; Carnero, M. Angeles - 2005
series of 1, 200 to 4, 400 daily price observations. Apart from persistence, heteroskedasticity and extreme observations in …
Persistent link: https://www.econbiz.de/10011346471
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Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity
Meitz, Mika; Saikkonen, Pentti - 2012
We consider maximum likelihood estimation of a particular noninvertible ARMA model with autoregressive conditionally heteroskedastic (ARCH) errors. The model can be seen as an extension to so-called all-pass models in that it allows for autocorrelation and for more fl exible forms of conditional...
Persistent link: https://www.econbiz.de/10009621934
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Moving Average Threshold Heterogeneous Autoregressive (MAT-HAR) Models
Motegi, Kaiji - 2020
We propose moving average threshold heterogeneous autoregressive (MAT-HAR) models as a novel combination of heterogeneous autoregression (HAR) and threshold autoregression (TAR). The MAT-HAR has multiple groups of lags of a target series, and a threshold term can appear in each group. The...
Persistent link: https://www.econbiz.de/10012848474
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A Mixture Autoregressive Model Based on Student's t-Distribution
Meitz, Mika - 2018
A new mixture autoregressive model based on Student's t-distribution is proposed. A key feature of our model is that the conditional t-distributions of the component models are based on autoregressions that have multivariate t-distributions as their (low-dimensional) stationary distributions....
Persistent link: https://www.econbiz.de/10012919489
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Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics
MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007
This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across...
Persistent link: https://www.econbiz.de/10014024953
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Conditional Heteroskedasticity in Long Memory Model 'FIMACH' for Return Volatilities in BRICS Equity Markets
Mollah, Sabur - 2015
This paper introduces a new class of long memory model for volatility of stock returns, and applies the model on squared returns for BRICS (Brazil, Russia, India, China, and South Africa) countries. The conditional first- and second-order moments are provided. The CLS, FGLS and QML estimators...
Persistent link: https://www.econbiz.de/10013017294