Near-neighbor regression is a popular empirical tool. In this note, we describe the general algorithm for the technique and we identify several potential problem areas that researchers should consider. Standard statistical packages are generally inflexible, and hide important modeling decisions...

Asymptotic confidence interval estimators of the variance parameter \sigma ² = lim_{n - \infty} n Var((1/n) \sum ⁿ_{i = 1} X_i) are described in this paper for observations X₁, X₂,...,X_n from a strictly stationary phi-mixing stochastic process. They are based on asymptotic properties of the...

Article aims of time series econometric model of macroeconomic variable GDP in the US economy. Because that is a nonstationary time series, there are used several statistical tests in order to turn into a stationary series. After applying these tests, the time series became stationary and...

The paper „Stationary and Non-stationary Time Series” presents in a theoretical approach, the concept of time series, its characteristics which are: variability, homogeneity, periodicity and interdependence of time series terms, from which result the methods of estimation and analysis of...

The existing huge literature on measuring trade openness, on the one hand, and the effect of trade openness on economic growth, on the other, all have failed to reach a clear-cut conclusion. Therefore, this paper's idea emerges by searching for an answer to the following two questions: how to...

An important factor to consider when evaluating wind energy potential is the wind speed persistence. In this study, persistence of the wind speed in Peninsular Malaysia is investigated based on the hourly data available at 10 wind stations from 2007 to 2009. To determine the degree of...

This article highlights a comprehensive and approachable perspective to stochastic volatility models for financial time series analysis. Financial time series represent a distinctive category in the economic field, with highly dynamic characteristics, especially in times of financial crisis....

The U.S. prewar output series exhibit smaller shock-persistence than postwar-series. Some studies suggest that this may be due to linear interpolation used to generate missing prewar data. Monte Carlo simulations that support this view generate large standard-errors, making such inference...

This article surveys estimation in stationary time series models using the approach of optimal instrumentation. We review tools that allow construction and implementation of optimal instrumental variables estimators in various circumstances { in single- and multiperiod models, in the absence and...

We propose and evaluate a technique for instrumental variables estimation of linear models with conditional heteroskedasticity. The technique uses approximating parametric models for the projection of right-hand side variables onto the instrument space, and for conditional heteroskedasticity and...