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nep-ets New Economics Papers
on Econometric Time Series
Issue of 2008‒02‒23
three papers chosen by
Yong Yin
SUNY at Buffalo
  1. Selection of the number of frequencies using bootstrap techniques in log-periodogram regression. By Josu Arteche; Jesus Orbe
  2. A Panel Data Approach to Economic Forecasting: The Bias-Corrected Average Forecast By João Victor Issler; Luiz Renato Lima
  3. Unit Roots Tests with Smooth Breaks: An Application to the Nelson-Plosser Data Set By Pascalau, Razvan
  1. By: Josu Arteche (Fac. CC. Económicas y Empresariales. Dpto. Economía Aplicada III); Jesus Orbe (Fac. CC. Económicas y Empresariales.Dpto. Economía Aplicada III)
    Abstract: The choice of the bandwidth in the local log-periodogram regression is of crucial importance for estimation of the memory parameter of a long memory time series. Different choices may give rise to completely different estimates, which may lead to contradictory conclusions, for example about the stationarity of the series. We propose here a data driven bandwidth selection strategy that is based on minimizing a bootstrap approximation of the mean squared error and compare its performance with other existing techniques for optimal bandwidth selection in a mean squared error sense, revealing its better performance in a wider class of models. The empirical applicability of the proposed strategy is shown with two examples: the widely analyzed in a long memory context Nile river annual minimum levels and the input gas rate series of Box and Jenkins.
    Keywords: Bootstrap, long memory, log-periodogram regression, bandwidth selection
    JEL: C15 C22 C63
    Date: 2008–02–21
    URL: http://d.repec.org/n?u=RePEc:ehu:biltok:200801&r=ets
  2. By: João Victor Issler (EPGE/FGV); Luiz Renato Lima
    Date: 2008–01
    URL: http://d.repec.org/n?u=RePEc:fgv:epgewp:668&r=ets
  3. By: Pascalau, Razvan
    Abstract: This paper reconsiders the nature of the trends (i.e. deterministic or stochastic) in macroeconomic time series. For this purpose, the paper employs two new tests that display robustness to structural breaks of unknown forms, irrespective of the date and/or location of the breaks. These tests approximate structural changes as smooth processes via Flexible Fourier transforms. The tests deliver strong evidence in favor of a nonlinear deterministic trend for real GNP, real per capita GNP, employment, the unemployment rate, and stock prices. Further, the two tests confirm the existence of stochastic trends in nominal GNP, consumer prices, real wages, monetary aggregates, velocity, and bond yields. In general, it appears that real variables are stationary while nominal ones have a unit root.
    Keywords: Unit Roots; Stationarity Tests; Structural Change
    JEL: C50 E10
    Date: 2008–02–14
    URL: http://d.repec.org/n?u=RePEc:pra:mprapa:7220&r=ets
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