Search Results

Using Time Series in the Macroeconomic Analysis,
Constantin Anghelache, Radu Titus Marinescu, Elena Bugudui and Daniel Dumitrescu, in Romanian Statistical Review Supplement (2012)
Keywords: variability, dinamic series, interdependence, relative indicator, growth rate

Using Dynamic Series of Moments for Economic Analysis,
Diana Coconoiu and Elena Bugudui, in Romanian Statistical Review Supplement (2012)
Keywords: data, calculation, correlation, chronological, dynamic

Modeling Nigerian Government Revenues and Total Expenditure: Combined Estimators’ Analysis and Error Correction Model Approach,
Kayode Ayinde, Aliyu A. Bello, Opeyemi E. Ayinde and Damilola. B. Adekanmbi, in Central European Journal of Economic Modelling and Econometrics (2015)
Keywords: unit root test, cointegration test, combined estimators, error correction model, feasible generalized linear estimators

Modelling Monthly International Tourist Arrivals and Its Risk in Nepal,
Hari Sharma Neupane, Chandra Lal Shrestha and Tara Prasad Upadhyaya, in NRB Economic Review (2012)
Keywords: International tourist arrivals, Growth, Conditional Mean and Volatility

A SEMIPARAMETRIC FREQUENCY DOMAIN APPROACH OF MODELLING THE REAL OUTPUT WITH FRACTIONAL INTEGRATION,
Luis A. Gil-Alanaa, in European Research Studies Journal (2003)
Keywords: Fractional integration, Semiparametric estimation, Mean reversion

Cyclical Trends in Continuous Time Models,
Joanne S. Ercolani, from Department of Economics, University of Birmingham (2007)
Keywords: Cyclical Trends, continuous time models, stochastic differential equations, differential-difference equations

On the Asymptotic Properties of a Feasible Estimator of the Continuous Time Long Memory Parameter,
Joanne S. Ercolani, from Department of Economics, University of Birmingham (2010)
Keywords: Continuous time models, long memory processes

Modelling of Stock Returns Time-Series,
Jiří Trešl and Dagmar Blatná, in Acta Oeconomica Pragensia (2007)
Keywords: financial time-series, stock returns, GARCH models

The Realisation of Finite-Sample Frequency-Selective Filters,
David Pollock, from Division of Economics, School of Business, University of Leicester (2008)
Keywords: Linear filtering; Frequency-domain analysis

The Frequency Analysis of the Business Cycle,
David Pollock, from Division of Economics, School of Business, University of Leicester (2008)
Keywords: Linear filtering; Frequency-domain analysis; Flexible trends

The overall seasonal integration tests under non-stationary alternatives,
Ghassen El Montasser, in Journal of Economics and Econometrics (2011)
Keywords: Fisher test, seasonal integration, non-stationary alternatives, Brownian motion, Monte Carlo Simulation.

A New Method for Obtaining the Autocovariance of an ARMA Model: An Exact-form solution,
Menelaos Karanasos, from Birkbeck, Department of Economics, Mathematics & Statistics (1996)
Keywords: Autocovariance, ARMA model, Model Redundancy.

Filters for Short Nonstationary Sequences,
David Pollock, from Universite Aix-Marseille III (2000)
Keywords: TIME SERIES ; ESTIMATOR ; ECONOMETRICS ; REGRESSION ANALYSIS

The Estimation of Deposit Insurance with Interest Rate Risk,
J.-C. Duan and Jean-Guy Simonato, from Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques. (1998)
Keywords: INTEREST RATE ; RISK ; INSURANCE ; PRICING ; SIMULATION

Investigating Asymmetries in Macroeconomic Aggregates of Central and Eastern European Economies,
Veli Yilanci, in The AMFITEATRU ECONOMIC journal (2012)
Keywords: asymmetry, Central and Eastern European countries, deepness, steepness

Correlation, regression, and cointegration of nonstationary economic time series,
Soren Johansen, from Department of Economics and Business Economics, Aarhus University (2007)

A Non-standard Empirical Likelihood for Time Series,
Daniel J. Nordman, Helle Bunzel and Soumendra N. Lahiri, from Department of Economics and Business Economics, Aarhus University (2012)
Keywords: Brownian motion, Confidence Regions, Stationarity, Weak Dependence

Asymptotic analysis of the Forward Search,
Soren Johansen and Bent Nielsen, from Department of Economics and Business Economics, Aarhus University (2013)
Keywords: Fixed point result, Forward Search, quantile process, weighted and marked empirical process

Efficient Estimation for Diffusions Sampled at High Frequency Over a Fixed Time Interval,
Nina Munkholt Jakobsen and Michael Sørensen, from Department of Economics and Business Economics, Aarhus University (2015)
Keywords: Approximate martingale estimating functions, discrete time sampling of diffusions, in-fill asymptotics, normal variance-mixtures, optimal rate, random Fisher information, stable convergence, stochastic differential equation.

Tightness of M-estimators for multiple linear regression in time series,
Soren Johansen and Bent Nielsen, from Department of Economics and Business Economics, Aarhus University (2016)
Keywords: M-estimator, robust statistics, martingales, Huber-skip, quantile estimation.

Stability Tests for Linear Regression Models,
Lev Slutskin, in Applied Econometrics (2007)
Keywords: nested and non-nested models; recursive tests; stability; structural change

A Note on the Forcasting Effectiveness of the U.S. Leading Economic Indicators,
John B. Guerard, in Indian Economic Review (2001)

Vectores autoregresivos, cointegración y cambios estructurales: Un análisis formal para la demanda de trabajo en Colombia,
Jairo Isaza Castro and Carlos Arturo Meza Carvajalino, from Centro de Investigaciones en Violencia, Instituciones y Desarrollo Económico (VIDE) (2005)
Keywords: Cointegración

The Dynamic Relationship among Domestic Stock Returns Volatility, Oil Prices, Exchange Rate and Macroeconomic Factors of Investment,
Malik Shahzad Shabbir, Laila Refiana Said, Irem Pelit and Esma Irmak, in International Journal of Energy Economics and Policy (2023)
Keywords: Oil Prices, Energy Sources, Exchange Rate, Macroeconomic Factors, Domestic Stock Returns

Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models,
Eric Hillebrand and Marcelo Medeiros, from Department of Economics and Business Economics, Aarhus University (2012)
Keywords: Smooth transitions, long memory, forecasting, realized volatility.

Estimating High-Dimensional Time Series Models,
Marcelo Medeiros and Eduardo F. Mendes, from Department of Economics and Business Economics, Aarhus University (2012)
Keywords: sparse models, shrinkage, LASSO, adaLASSO, time series, forecasting.

A new mixed multiplicative-additive model for seasonal adjusment,
Stephanus Arz, from Deutsche Bundesbank (2006)
Keywords: Seasonal adjustment, calendar adjustment, over-adjustment, multiplicative-additive model, X-12-ARIMA

Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results,
Klaus Herrmann, from Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics (2009)
Keywords: Entropy density, Skewness, Kurtosis, GARCH

Models for time-varying moments using maximum entropy applied to a generalized measure of volatility,
Klaus Herrmann, from Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics (2008)
Keywords: Information Theory, Maximum Entropy, GARCH, Volatility

The Importance of Real and Nominal Shocks on the UK Housing Market,
Seema Narayan and Paresh Narayan, in International Journal of Business and Economics (2011)
Keywords: housing market; UK; interest rate; real GDP; inflation

VLCC Ships Prices and their Influence on Maritime Insurance MarketAbstract:The global economic and financial crisis has repressed the boom of the shipping industry, generating a high volatility of vessels’ prices. With the global expansion of the maritime sector, marine insurance is on the forefront nowadays, more than ever before. As the marine insurance premiums vary according to the value of insured assets and their number, the marine insurance market can be analyzed through the forecast of vessels’ prices within the turbulent business environment,
Burca Ana-Maria and Ghiorghe Batrinca, in Ovidius University Annals, Economic Sciences Series (2013)

Structural breaks and unit root: evidence from Pakistani macroeconomic time series,
Muhammad Waheed, Tasneem Alam and Saghir Ghauri, from University Library of Munich, Germany (2006)
Keywords: Structural break; unit root; pakistan

Efficient Estimation of the Parameter Path in Unstable Time Series Models,
Ulrich Mueller and Philippe-Emmanuel Petalas, from University Library of Munich, Germany (2007)
Keywords: Time Varying Parameters; Non-linear Non-Gaussian Smoothing; Weighted Average Risk; Weighted Average Power; Posterior Approximation; Contiguity

Nonlinearities in Exchange rates: Double EGARCH Threshold Models for Forecasting Volatility,
Bruno Sitzia and Doriana Iovino, from University Library of Munich, Germany (2008)
Keywords: non linearity; forecasting volatility; exchange rates

Export and Economic Growth in India: Causal Interpretation,
Alok Pandey, from University Library of Munich, Germany (2006)
Keywords: Gross Domestic Product, Export, Unit root test, Cointegration, Error Correction Model, Time series

Revenue and Expenditure Nexus: A Case Study of Romania,
Qazi Muhammad Hye and M Anwar Jalil, from University Library of Munich, Germany (2010)
Keywords: Government revenue, government expenditure, cointegration

Stochastic and deterministic trends in Finnish macroeconomic time series,
Mikael Linden, in Finnish Economic Papers (1992)

Adding EMD Process and Filtering Analysis to Enhance Performances of ARIMA Model When Time Series Is Measurement Data,
Feng-Jenq Lin, in Journal for Economic Forecasting (2015)
Keywords: Hilbert-Huang transform, empirical mode decomposition, filtering analysis, measurement data, ARIMA model

Circulant Matrices and Time-series Analysis,
Stephen Pollock, from Queen Mary University of London, School of Economics and Finance (2000)
Keywords: Time-series analysis, Circulant matrices, Discrete Fourier transforms, Periodograms

Filters for Short Nonstationary Sequences,
Stephen Pollock, from Queen Mary University of London, School of Economics and Finance (2000)
Keywords: Signal extraction, Linear Filtering, Frequency-domain analysis, Trend estimation

Orthogonality Conditions for Non-Dyadic Wavelet Analysis,
Stephen Pollock and Iolanda Lo Cascio, from Queen Mary University of London, School of Economics and Finance (2005)
Keywords: Wavelets, Non-dyadic analysis, Fourier analysis

Improved Frequency-selective Filters,
Stephen Pollock, from Queen Mary University of London, School of Economics and Finance (2001)
Keywords: Signal extraction, Linear filtering, Filter design, Trend estimation, Frequency-domain analysis

Deconstructing the Consumption Function: New Tools and Old Problems,
Stephen Pollock and Nikoletta Lekka, from Queen Mary University of London, School of Economics and Finance (2001)
Keywords: Consumption function, Trend estimation, Seasonal adjustment, Spectral analysis

Least Squares and IVX Limit Theory in Systems of Predictive Regressions with GARCH innovations,
Tassos Magdalinos, from Rimini Centre for Economic Analysis (2018)
Keywords: Central limit theory, Conditional Heteroskedasticity, Mixed Normality, Wald test

An I(d) Model with Trend and Cycles,
Karim M. Abadir, Walter Distaso and Liudas Giraitis, from Rimini Centre for Economic Analysis (2010)
Keywords: fractional integration, trend, cycle, nonlinear process, Whittle objective function

Long memory or shifting means? A new approach and application to realised volatility,
Eduardo Mendes, Les Oxley, William Rea and Marco Reale, from University of Canterbury, Department of Economics and Finance (2008)
Keywords: Long-range dependence; Strong dependence; Global dependence; Hurst phenomena

Inflation Convergence in BRICS Countries: A Comprehensive Unit Root Test Analysis,
Muhammed Tıraşoğlu and İpek Melahat Yurttagüler, in Alphanumeric Journal (2018)
Keywords: BRICS Countries, Inflation Convergence, Nonlinear Unit Root Test, Structural Break Unit Root Test

An infimum coefficient unit root test allowing for an unknown break in trend,
David Harvey and Stephen Leybourne, in Economics Letters (2012)
Keywords: Unit root test; Trend break; Minimum Dickey–Fuller test;

A CUSUM test for a long memory heterogeneous autoregressive model,
Eunju Hwang and Dong Wan Shin, in Economics Letters (2013)
Keywords: HAR model; Parameter constancy; Realized volatility; Structural break;

The functional central limit theorem for the multivariate MS–ARMA–GARCH model,
Oesook Lee and Jungwha Lee, in Economics Letters (2014)
Keywords: Functional central limit theorem; L2-NED; Multivariate MS–GARCH; Multivariate MS–ARMA–GARCH;

A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities,
Dong Wan Shin and Eunju Hwang, in Economics Letters (2015)
Keywords: Lagrangian multiplier test; Market microstructure noise; Realized volatility;

Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown,
David Harvey and Stephen Leybourne, in Economics Letters (2016)
Keywords: Level break; Trend break; Stationary; Unit root; Confidence sets;

Mixing properties of the dynamic Tobit model with mixing errors,
Jon Michel and Robert de Jong, in Economics Letters (2018)
Keywords: Dynamic Tobit model; Mixing;

Maximum likelihood estimation of a TVP-VAR,
Guilherme Moura and Mateus R. Noriller, in Economics Letters (2019)
Keywords: Time-varying parameters VAR; Multivariate stochastic volatility; Wishart distribution; Maximum likelihood estimation;

Exact local Whittle estimation of fractionally cointegrated systems,
Katsumi Shimotsu, in Journal of Econometrics (2012)
Keywords: Discrete Fourier transform; Fractional cointegration; Long memory; Nonstationarity; Semiparametric estimation; Whittle likelihood;

Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity,
Donald Andrews and Patrik Guggenberger, in Journal of Econometrics (2012)
Keywords: Asymptotic distribution; Autoregression; Conditional heteroskedasticity; Generalized least squares; Least squares;

Confidence sets for the date of a break in level and trend when the order of integration is unknown,
David Harvey and Stephen Leybourne, in Journal of Econometrics (2015)
Keywords: Level break; Trend break; Stationary; Unit root; Locally best invariant test; Confidence sets;

ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors,
Marcelo Medeiros and Eduardo F. Mendes, in Journal of Econometrics (2016)
Keywords: Sparse models; Shrinkage; LASSO; AdaLASSO; Time series; Forecasting; GARCH;

Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity,
Eunju Hwang and Dong Wan Shin, in Journal of Econometrics (2018)
Keywords: Market microstructure noise; Non-synchronous trading; Realized covariations; Two-time scale estimator; Stationary bootstrap; High frequency data;

Investing for the long run when expected equity premium is nonnegative,
Yugui Zhang, Jie Zhu and Xiaoneng Zhu, in Pacific-Basin Finance Journal (2020)
Keywords: Asset allocation; Long horizon; Economic constraints; Equity premium; Estimation risk;

Reassessing the Nexus between Insurance Activities and Economic Growth in China Through Quantile Approaches,
Guochen Pan, Tsangyao Chang, Mei-Chih Wang, Mengqi Liu and Iuliana Carmen Bărbăcioru, in Journal for Economic Forecasting (2023)
Keywords: Insurance activities; economic growth; quantile approach; Quantile_on_Quantile approach; Granger causality

The accuracy of asymmetric GARCH model estimation,
Amélie Charles and Olivier Darné, in International Economics (2019)
Keywords: EGARCH; GJR-GARCH; TARCH; APARCH; Accuracy; Forecasting; Software;

Five different distributions for the Lee–Carter model of mortality forecasting: A comparison using GAS models,
César Neves, Cristiano Fernandes and Henrique Hoeltgebaum, in Insurance: Mathematics and Economics (2017)
Keywords: GAS models; Mortality rates; Lee–Carter model; Forecasting; Observation-driven time series models;

Some properties of periodically collapsing bubbles,
Gawon Yoon, in Economic Modelling (2012)
Keywords: Periodically collapsing bubbles; Multiplicative stochastic processes; Heavy-tailed distributions; Stochastic unit roots;

Global bond risk premia under falling stars,
Yugui Zhang, Jie Zhu and Xiaoneng Zhu, in Finance Research Letters (2021)
Keywords: Interest rate forecast; Predictive regression; Macroeconomic trend; Shifting endpoints; Trend estimation;

The Selection of ARIMA Models with or without Regressors,
Soren Johansen, Marco Riani and Anthony C. Atkinson, from Department of Economics and Business Economics, Aarhus University (2012)
Keywords: AIC, ARMA models, bias correction, BIC, $C_{p}$ plot, generalized RIC, Kalman filter, Kullback-Leibler distance, state-space formulation

Seasonal Changes in Central England Temperatures,
Tommaso Proietti and Eric Hillebrand, from Department of Economics and Business Economics, Aarhus University (2015)
Keywords: Global Warming, Seasonal Models, Structural Change, Amplitude and Phase Shifts

On the Spectral Properties of Matrices Associated with Trend Filters,
Alessandra Luati and Tommaso Proietti, from University Library of Munich, Germany (2008)
Keywords: Signal extraction; Smoothing; Boundary conditions; Matrix algebras

Long Memory in the Energy Consumption by Source of the United States: Fractional Integration, Seasonality Effect and Structural Breaks,
Oluwasegun Adekoya, in Estudios de Economia (2020)
Keywords: Long memory, fractional integration, structural breaks.

Are we in a bubble? A simple time-series-based diagnostic,
Philip Hans Franses, from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013)
Keywords: acceleration, growth, speculative bubbles, test

Point Optimal Invariant Tests of a Unit Root in Models with Structural Change,
Mehmet Balcilar, from Eastern Mediterranean University, Department of Economics (2007)
Keywords: Unit roots, structural change, quasi-differencing

Some comments on seasonal adjustment,
Philip Hans Franses, in Revista de Economía del Rosario (2001)
Keywords: Seasonal adjustment, time series

Robustness of binary choice models to conditional heteroscedasticity,
Tim Ginker and Offer Lieberman, in Economics Letters (2017)
Keywords: Conditional heteroscedasticity; Misspecified models; Probit;

Linearity Testing in Time-Varying Smooth Transition Autoregressive Models under Unknown Degree of Persistency,
Robinson Kruse and Rickard Sandberg, from Department of Economics and Business Economics, Aarhus University (2010)
Keywords: Linearity testing, Linear I(0) and (1) models, Non-linear I(0) and I(1) models,White correction.

Party formation and coalitional bargaining in a model of proportional representation,
Joanne S. McGarry and Marcus J. Chambers, from Department of Economics, University of Birmingham (2004)
Keywords: differential-difference equations; frequency domain; cycles

MODELING HIGH DIMENSIONAL ASSET PRICING RETURNS USING A DYNAMIC SKEWED COPULA MODEL,
Yuting Gong, Jufang Liang and Jie Zhu, in Bulletin of Monetary Economics and Banking (2019)
Keywords: Skewed Copula, Dynamic Model, High Dimensions, Multivariate Dependence

Estimating a change point in the long memory parameter,
Keiko Yamaguchi and 圭子 山口, from Graduate School of Economics, Hitotsubashi University (2010)
Keywords: Break in persistence, long memory, change point

REVENUE-EXPENDITURE NEXUS FOR SOUTHERN STATES: SOME POLICY ORIENTED ECONOMETRIC OBSERVATIONS,
Kausik Chaudhuri and Bodhisattva Sengupta, from East Asian Bureau of Economic Research (2009)
Keywords: Revenue Expenditure, Indian States, Cointegration

Approximation of A Jump-Diffusion Process,
Sanghoon Lee, from Econometric Society (2004)
Keywords: Weak Convergence, ARCH Type Models, Jump-Diffusion Process

The energy consumption-real GDP nexus revisited: Empirical evidence from 93 countries,
Paresh Narayan and Stephan Popp, in Economic Modelling (2012)
Keywords: Energy consumption; Real GDP; Panel causality;

Nonstationary Nonlinear Heteroskedasticity in Regression,
Joon Park and Heetaik Chung, from Econometric Society (2004)
Keywords: volatility, nonstationary nonlinear heteroskedasticity, regression with heteroskedastic errors, spurious regression, cointegration

The performance of the tests of linear and logarithmic transformations for integrated processes with stochastic unit roots,
Gawon Yoon, from Econometric Society (2004)
Keywords: data transformation, (stochastic) unit roots, nonnested tests

A note on some properties of STUR processes,
Gawon Yoon, from Econometric Society (2004)
Keywords: stochastic unit root

Testing for structural change in regression with long memory processes,
Stepana Lazarova, from Econometric Society (2004)
Keywords: Structural change, long memory, bootstrap

Temporal aggregation, causality distortions and a sign rule,
Tilak Abeysinghe and Gulasekaran Rajaguru, from Econometric Society (2004)
Keywords: Granger causality test, cointegration, ecm, sign rule

Nonlinear Mean Reversion in Stock Prices,
S. Manzan, from Society for Computational Economics (2004)
Keywords: nonlinear time series, mean reversion

Codependence in Cointegrated Autoregressive Models,
Christoph Schleicher, from Society for Computational Economics (2004)
Keywords: vector autoregression, cointegration, business cycles

Kolmogorov-Wiener Filters for Finite Time Series,
Christoph Schleicher, from Society for Computational Economics (2003)
Keywords: business cycles, mechanical filters, spectral analysis, bootstrap

Testing For Nonlinearity In G7 Macroeconomic Time Series,
Nilgün Çil Yavuz and Veli Yilanci, in Journal for Economic Forecasting (2012)
Keywords: nonlinearity; time series; unit root; G7; stationarity

Is "The ideal filter" really Ideal: The usage of Frequency Filtering and Spurious Cycles,
Lyubomir Ivanov, in South-Eastern Europe Journal of Economics (2005)
Keywords: Frequency filtering, Hodrick-Prescott filter, Band-Pass Filter, Spurious Cycles