Search Results - subject_exact:"Autocorrelation"

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A consistent and robust test for autocorrelated jump occurrences

Kwok, Simon Sai Man - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014526309

Initial-condition-robust inference in autoregressive models

Andrews, Donald W. K.; Li, Ming; Zheng, Yapeng - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618889

Forecasting UK consumer price inflation with RaGNAR : random generalised network autoregressive processes

Nason, Guy P.; Palasciano, Henry Antonio - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015668062

Threshold effects of CO₂ on sea-ice volume : empirical evidence with data from global circulation models of the Arctic and Antarctic

Escribano, Álvaro; Rodríguez, Juan-Andrés - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015664985

Local projections, autocorrelation, and efficiency

Lusompa, Amaze - 2023

It is well known that Local Projections (LP) residuals are autocorrelated. Conventional wisdom says that LP have to be estimated by OLS and that GLS is not possible because the autocorrelation process is unknown and/or because the GLS estimator would be inconsistent. I show that the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014496501

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Local projections, autocorrelation, and efficiency

Lusompa, Amaze - 2023

Article

Local Projections, Autocorrelation, and Efficiency

Lusompa, Amaze - 2021

Book / Working Paper

Local Projections, Autocorrelation, and Efficiency

Lusompa, Amaze - 2020

Book / Working Paper

Uncovering hidden insights with long-memory process detection : an in-depth overview

Hassani, Hossein; Yarmohammadi, Masoud; Marvian, Leila - 2023

Long-memory models are frequently used in finance and other fields to capture long-range dependence in time series data. However, correctly identifying whether a process has long memory is crucial. This paper highlights a significant limitation in using the sample autocorrelation function (ACF)...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014335857

Cryptocurrencies and long-range trends

Alexiadou, Monica; Sofianos, Emmanouil; Gkonkas, Periklēs - 2023

In this study we investigate possible long-range trends in the cryptocurrency market. We employed the Hurst exponent in a sample covering the period from 1 January 2016 to 26 March 2021. We calculated the Hurst exponent in three non-overlapping consecutive windows and in the whole sample. Using...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014279894

An IID test for functional time series with applications to high-frequency VIX index data

Huang, Xin; Shang, Han Lin; Siu, Tak Kuen - 2025

To address a key issue in functional time series analysis on testing the randomness of an observed series, we propose an IID test for functional time series by generalizing the Brock-Dechert-Scheinkman (BDS) test, which is commonly used for testing nonlinear independence. Similarly to the BDS...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333723

Generalised spatial autocorrelation coefficients

Wywiał, Janusz - 2025

The article focuses on properties generalised to the multidimensional case of known coefficients of spatial correlation. The main result of the work is the decomposition of the introduced generalised autocorrelation coefficients into the sum of ordinary autocorrelation coefficients, but...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338287

Maximum trimmed likelihood estimation for discrete multivariate Vasicek processes

Fullerton, Thomas M.; Pokojovy, Michael; Anum, Andrews T.; … - 2025

The multivariate Vasicek model is commonly used to capture mean-reverting dynamics typical for short rates, asset price stochastic log-volatilities, etc. Reparametrizing the discretized problem as a VAR(1) model, the parameters are oftentimes estimated using the multivariate least squares (MLS)...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338665

Bayesian analysis for functional coefficient conditional autoregressive range model with applications

Wang, Bin; Qian, Yixin; Yu, Enping - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015193856

Copula tensor count autoregressions for modeling multidimensional integer-valued time series

Armillotta, Mirko; Gorgi, Paolo; Lucas, André - 2025

This paper presents a novel copula-based autoregressive framework for multilayer arrays of integer-valued time series with tensor structure. It complements recent advances in tensor time series that predominantly focus on real-valued data and overlook the unique properties of integer-valued time...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195717

Testing for spatial autocorrelation in Stata

Kondo, Keisuke - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015418833

Matrix-valued spatial autoregressions with dynamic and robust heterogeneous spillovers

Lin, Yicong; Lucas, André; Ye, Shiqi - 2025

We introduce a new time-varying parameter spatial matrix autoregressive model that integrates matrix-valued time series, heterogeneous spillover effects, outlier robustness, and time-varying parameters in one unified framework. The model allows for separate dynamic spatial spillover effects...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015423404

Edgeworth expansions in curved cross section autoregression

Phillips, Peter C. B. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015467029

High-dimensional weighted K-means with serial dependence

Zhang, Zhonghui; Kao, Chihwa; Hwang, Jungbin - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015474059

How do macroaggregates and income distribution interact dynamically? : a novel structural mixed autoregression with aggregate and functional variables

Chang, Yoosoon; Kim, So-yŏng; Park, Joon Y. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015410418

Earnings extrapolation and predictable stock market returns

Guo, Hongye - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015458794

Inference in a stationary/nonstationary autoregressive time-varying-parameter model

Andrews, Donald W. K.; Li, Ming - 2025

This paper considers nonparametric estimation and inference in first-order autoregressive (AR(1)) models with deterministically time-varying parameters. A key feature of the proposed approach is to allow for time-varying stationarity in some time periods, time-varying nonstationarity (i.e., unit...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015460575

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Inference in a stationary/nonstationary autoregressive time-varying-parameter model

Andrews, Donald W. K.; Li, Ming - 2024

Book / Working Paper

Are intraday returns autocorrelated?

Li, Yufei; Giraitis, Luidas; Sucarrat, Genaro - 2025

The presence of autocorrelated financial returns has major implications for investment decisions. Unsurprisingly, therefore, numerous studies have sought to shed light on whether returns are autocorrelated or not, to what extent, and when. Standard tests for autocorrelation rely on the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015441089

Testing for equal predictive accuracy with strong dependence

Coroneo, Laura; Iacone, Fabrizio - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015441527

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Testing for equal predictive accuracy with strong dependence

Coroneo, Laura; Iacone, Fabrizio - 2021

Book / Working Paper

HAR inference for quantile regression in time series

Hwang, Jungbin; Valdés, Gonzalo - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015445619

Spatiotemporal patterns and prediction of multi-region house prices via functional mixed effects model

Chen, Yilin; Zheng, Haitao - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015445808

A fractional integration model with autoregressive processes

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2025

This note puts forward a new modelling approach that includes both fractional integration and autoregressive processes in a unified framework. The proposed model is very general and includes other more standard approaches such as the AR(F)IMA models. Some Monte Carlo evidence shows that the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015426971

Spatial autocorrelation of the gender pay gap indicator across the macroregions of the European Union

Matuszewska-Janica, Aleksandra - 2025

Research background: The unadjusted gender pay gap (GPG) is one of the indicators that measure progress towards SDG5. There is considerable variability in the values of this indicator among the individual countries and regions of the EU. However, due to the effects resulting from the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015492619

Threshold effects of CO₂ on sea-ice volume : empirical evidence with data from global circulation models of the Arctic and Antarctic

Álvaro, Escribano; Rodríguez, Juan-Andrés - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015553385

An efficient residual-adjusted two-step estimator for a SARAR model

Lee, Lung-fei; Lin, Yanli; Yang, Yang - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015554873

Spectral estimation for mixed causal-noncausal autoregressive models

Hecq, Alain W. J.; Velásquez-Gaviria, Daniel - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015554875

Shrinkage estimators for periodic autoregressions

Paap, Richard; Franses, Philip Hans - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015556001

Is U.S. real output growth non-normal? : a tale of time-varying location and scale

Demetrescu, Matei; Kruse-Becher, Robinson - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015556434

Long-run risk in stationary vector autoregressive models

Gouriéroux, Christian; Jasiak, Joann - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015556572

Constant volatility estimation by classical and bayesian methods in a financial market : an application to Bancolombia's preferential prices

Cortés-García, Christian; Cangrejo-Esquivel, Alvaro - 2025

In this paper we propose methods, from a classical and Bayesian approach, to estimate the constant volatility of an asset when it is not appropriate to fit heteroscedastic or stochastic volatility models relative to the sample series of the asset where no large increase in volatility is...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015625862

Addressing endogeneity issues in a spatial autoregressive model using copulas

Lin, Yanli; Song, Yichun - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656364

Time-varying generalized network autoregressions

Wu, Boyao; Gao, Jiti; Yu, Deshui - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015650608

Uniform inference with general autoregressive processes

Magdalinos, Tassos; Petrova, Petrova - 2025

A unified theory of estimation and inference is developed for an autoregressive process with root in (-∞, ∞) that includes the stationary, local-to-unity, explosive and all intermediate regions. The discontinuity of the limit distribution of the t-statistic outside the stationary region and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015396070

The asymmetric impacts of remittances on innovation in middle-income economies : a nonlinear autoregressive distributed lag approach

Islam, Md Zahidul; Hossain, Md Shamim; Amin, Mohammad Bin; … - 2025

Innovation is essential for promoting long-term growth in middle-income countries (MICs). Amid growing remittance inflows, understanding how these financial transfers influence innovation outcomes has become increasingly important; however, the prevailing literature overlooks the impact of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015533514

Conditional score residuals and diagnostic analysis of serial dependence in time series models

Blasques, F.; Gorgi, P.; Koopman, Siem Jan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015534493

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Conditional score residuals and diagnostic analysis of serial dependence in time series models

Blasques, F.; Gorgi, P.; Koopman, Siem Jan - 2021

Book / Working Paper

Forecasting the realized variance in the presence of intraday periodicity

Dumitru, Ana Maria H.; Hizmeri, Rodrigo; Izzeldin, Marwan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015558468

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Forecasting the realized variance in the presence of intraday periodicity

Dumitru, Ana-Maria H.; Hizmeri, Rodrigo; Izzeldin, Marwan - 2019

Book / Working Paper

Large dynamic covariance matrices and portfolio selection with a heterogeneous autoregressive model

Honig, Igor; Kircher, Felix - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015558692

A comment on: "Autoregressive conditional duration : a new model for irregularly spaced transaction data"

Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015401165

ARFURIMA models: simulations of their properties and application

Jibrin, Sanusi Alhaji; Rahman, Rosmanjawati Abdul - 2022

This article defines the Autoregressive Fractional Unit Root Integrated Moving Average (ARFURIMA) model for modelling ILM time series with fractional difference value in the interval of 1൏𝑑൏2. The performance of the ARFURIMA model is examined through a Monte Carlo simulation. Also, some...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013419429

Solving unconstrained binary polynomial programs with limited reach : Application to low autocorrelation binary sequences

Clausen, Jens Vinther; Crama, Yves; Lusby, Richard; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014563729

A Hawkes model with CARMA(p,q) intensity

Mercuri, Lorenzo; Perchiazzo, Andrea; Rroji, Edit - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015066742

Beyond parametric bounds : exploring regional unemployment patterns using semiparametric spatial autoregression

Furková, Andrea; Knížat, Peter - 2024

Background It is a well-known phenomenon that nonlinearities that are inherent in the relationship among economic variables negatively affect the commonly used estimators in the econometric models. The nonlinearities cause an instability of the estimated parameters that, in particular, are...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015108406

Technical efficiency versus land-use efficiency : a spatio-temporal efficiency analysis of China's crop production

Yin, Fang; Sun, Zhanli; You, Liangzhi; Huang, Wei - 2024

Improved land-use efficiency in agricultural production is crucial to meet increasing demand for agricultural commodities using the finite area of arable land worldwide. By applying a spatial autoregressive stochastic frontier methodology to county-level data spanning from 1980 to 2011, we...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015080955