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on Econometric Time Series |
| By: | Jean-Thomas Bernard; Lynda Khalaf; Maral Kichian; Sebastien McMahon |
| Abstract: | Fluctuations in the prices of various natural resource products are of concern in both policy and business circles; hence, it is important to develop accurate price forecasts. Structural models provide valuable insights into the causes of price movements, but they are not necessarily the best suited for forecasting given the multiplicity of known and unknown factors that affect supply and demand conditions in these markets. Parsimonious representations of price processes often prove more useful for forecasting purposes. Central questions in such stochastic models often revolve around the time-varying trend, the stochastic convenience yield and volatility, and mean reversion. The authors seek to assess and compare alternative approaches to modelling these effects, focusing on forecast performance. Three econometric specifications are considered that cover the most up-to-date models in the recent literature on commodity prices: (i) random-walk models with autoregressive conditional heteroscedasticity (ARCH) or generalized ARCH (GARCH) effects, and with normal or student-t innovations, (ii) Poisson-based jump-diffusion models with ARCH or GARCH effects, and with normal or student-t innovations, and (iii) meanreverting models that allow for uncertainty in equilibrium price. |
| Keywords: | Econometric and statistical methods |
| JEL: | C52 C53 E37 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocawp:06-14&r=ets |
| By: | Ali Dib; Mohamed Gammoudi; Kevin Moran |
| Abstract: | The authors document the out-of-sample forecasting accuracy of the New Keynesian model for Canada. They estimate their variant of the model on a series of rolling subsamples, computing out-of-sample forecasts one to eight quarters ahead at each step. They compare these forecasts with those arising from simple vector autoregression (VAR) models, using econometric tests of forecasting accuracy. Their results show that the forecasting accuracy of the New Keynesian model compares favourably with that of the benchmarks, particularly as the forecasting horizon increases. These results suggest that the model could become a useful forecasting tool for Canadian time series. The authors invoke the principle of parsimony to explain their findings. |
| Keywords: | Business fluctuations and cycles; Economic models; Econometric and statistical methods |
| JEL: | E32 E37 C12 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocawp:06-4&r=ets |
| By: | Mustafa Caglayan and Feng Jiang |
| Abstract: | In this paper, given recent theoretical developments that inflation can exhibit long memory properties due to the output growth process, we propose a new class of bivariate processes to simultaneously investigate the dual long memory properties in the mean and the conditional variance of inflation and output growth series. We estimate the model using monthly UK data and document the presence of dual long memory properties in both series. Then, using the conditional variances generated from our bivariate model, we employ Granger causality tests to scrutinize the linkages between the means and the volatilities of inflation and output growth. |
| JEL: | C32 E31 |
| URL: | http://d.repec.org/n?u=RePEc:gla:glaewp:2006_8&r=ets |
| By: | Felicitas Nowak-Lehmann D. (Universität Göttingen, Ibero-Amerika Institut); Dierk Herzer (Universität Frankfurt / Universität Göttingen); Sebastian Vollmer (Universität Göttingen, Ibero-Amerika Institut); Inmaculada Martínez-Zarzoso (Universität Göttingen, Ibero-Amerika Institut) |
| Abstract: | The objective of this paper is twofold: First, the applicability of a widely used dynamic model, the autoregressive distributed lag model (ARDL), is scrutinized in a panel data setting. Second, Chile’s development of market shares in the EU market in the period of 1988 to 2002 is then analyzed in this dynamic framework, testing for the impact of price competitiveness on market shares and searching for estimation methods that allow dealing with the problem of inter-temporal and cross-section correlation of the disturbances. To estimate the coefficients of the ARDL model, FGLS is utilized within the Three Stage Feasible Generalized Least Squares (3SFGLS) and the system Generalized Method of Moments (system GMM) methods. A computation of errors is added to highlight the susceptibility of the model to problems related to underlying model assumptions. |
| Keywords: | Dynamic panel data model, autoregressive distributed lag model; pooled 3Stage Feasible |
| JEL: | F14 F17 C23 |
| Date: | 2006–06–06 |
| URL: | http://d.repec.org/n?u=RePEc:got:iaidps:140&r=ets |
| By: | FÈVE, Patrick; GUAY, Alain |
| JEL: | C32 E32 |
| Date: | 2006–02 |
| URL: | http://d.repec.org/n?u=RePEc:ide:wpaper:5360&r=ets |
| By: | Francis X. Diebold (Department of Economics, University of Pennsylvania); Lutz Kilian (Department of Economics, University of Michigan); Marc Nerlove (Department of Agricultural and Resource Economics, University of Maryland) |
| Abstract: | We provide a concise overview of time series analysis in the time and frequency domains, with lots of references for further reading. |
| Keywords: | time series analysis, time domain, frequency domain |
| JEL: | C22 |
| Date: | 2006–05–01 |
| URL: | http://d.repec.org/n?u=RePEc:pen:papers:06-019&r=ets |
| By: | Alain Coen (Département de stratégie des affaires, Université du Québec (Montréal)); Francois-Éric Racicot (Département des sciences administratives, Université du Québec (Outaouais) et LRSP); Raymond Théoret (Département de stratégie des affaires, Université du Québec (Montréal)) |
| Abstract: | This paper proposes to revisit both the CAPM and the three-factor model of Fama and French (1993) in presence of errors in the variables. To reduce the bias induced by measurement and specification errors, we transpose to the cost of equity an estimator based on cumulants of order three and four initially developed by Dagenais and Dagenais (1997) and lated generalized to financial models by Racicot (2003). Our results show that our technique has great and significant consequences on the measure of the cost of equity. We obtain ipso facto a new estimator of the Jensen alpha. |
| Keywords: | Errors in the variables, cumulants, higher moments, instrumental variables, cost of equity, Jensen alpha. |
| JEL: | C13 C49 G12 G31 |
| Date: | 2006–05–01 |
| URL: | http://d.repec.org/n?u=RePEc:pqs:wpaper:142006&r=ets |