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Author : Robert Sollis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (595 download)
Download or read book Essays on Structural Change in Economic Time Series written by Robert Sollis and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jin Woong Kim
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (858 download)
Download or read book Essays on Empirical Time Series Modeling with Causality and Structural Change written by Jin Woong Kim and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, three related issues of building empirical time series models for financial markets are investigated with respect to contemporaneous causality, dynamics, and structural change. In the first essay, nation-wide industry information transmission among stock returns of ten sectors in the U.S. economy is examined through the Directed Acyclical Graph (DAG) for contemporaneous causality and Bernanke decomposition for dynamics. The evidence shows that the information technology sector is the most root cause sector. Test results show that DAG from ex ante forecast innovations is consistent with the DAG from ex post fit innovations. This supports innovation accounting based on DAGs using ex post innovations. In the second essay, the contemporaneous/dynamic behaviors of real estate and stock returns are investigated. Selected macroeconomic variables are included in the model to explain recent movements of both returns. During 1971-2004, there was a single structural break in October 1980. A distinct difference in contemporaneous causal structure before and after the break is found. DAG results show that REITs take the role of a causal parent after the break. Innovation accounting shows significantly positive responses of real estate returns due to an initial shock in default risk but insignificant responses of stock returns. Also, a shock in short run interest rates affects real estate returns negatively with significance but does not affect stock returns. In the third essay, a structural change in the volatility of five Asian and U.S. stockmarkets is examined during the post-liberalization period (1990-2005) in the Asian financial markets, using the Sup LM test. Four Asian financial markets (Hong Kong, Japan, Korea, and Singapore) experienced structural changes. However, test results do not support the existence of structural change in volatility for Thailand and U.S. Also, results show that the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) persistent coefficient increases, but the Autoregressive Conditional heteroskedasticity (ARCH) impact coefficient, implying short run adjustment, decreases in Asian markets. In conclusion, when the econometric model is set up, it is necessary to consider contemporaneous causality and possible structural breaks (changes). The dissertation emphasizes causal inference and structural consistency in econometric modeling. It highlights their importance in discovering contemporaneous/dynamic causal relationships among variables. These characteristics will likely be helpful in generating accurate forecasts.
Author : Kyongwook Choi
Publisher :
ISBN 13 :
Total Pages : 244 pages
Book Rating : 4.:/5 (58 download)
Download or read book Essays on the Analysis of Structural Changes in Macroeconomic Time Series written by Kyongwook Choi and published by . This book was released on 2002 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Natalie D. Hegwood
Publisher :
ISBN 13 :
Total Pages : 134 pages
Book Rating : 4.:/5 (43 download)
Download or read book Three Essays on Structural Change in Long-run Macroeconomic Time Series written by Natalie D. Hegwood and published by . This book was released on 1998 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Taylor Collins
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (14 download)
Download or read book Three Essays in Applied Time Series Econometrics written by Taylor Collins and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is composed of four chapters. Chapter 1 provides an introduction to the paper by highlighting some of the key economic questions, econometric methods, and conclusions that this paper chronicles. In Chapter 2, I conduct a range of unit root tests on the unemployment rates of 30 OECD countries. The objective of these tests are to use modern data and methods to update an old line of research that endeavors to uncover the most appropriate way to model unemployment. I find less evidence supporting Structural theories of unemployment than have prior studies in this field. In Chapter 3, I turn my attention to US monetary policy. Specifically, I utilize a new estimation technique called the Beverage-Nelson Filter to construct output gaps for use in an introductory Taylor Rule study. I revisit a marquee paper from John Taylor, conduct a structural change test of Bai and Perron, and utilize a wide modeling of monetary policy rules. I find that the Federal Funds Rate displayed as strong an adherence to baseline Taylor Rules through the 1960s as in any other era. Chapter 4 then turns the focus to New Zealand monetary policy and their role as the world's first inflation targeting country. In this chapter, I study the effects of the inflation rate and it's forecasted value for the following two years on New Zealand's Official Cash Rate and the country's Industrial Production Index. Using a set of Threshold Regressions and VAR Regressions, I find that New Zealand's interest rate responds much more strongly to the medium-run projected inflation than it does to inflation that is realized or projected to occur in the short run. I also find evidence that production in New Zealand is more responsive to changes in projected inflation than to changers in the interest rate.
Author : Jen-je Su
Publisher :
ISBN 13 :
Total Pages : 222 pages
Book Rating : 4.3/5 (129 download)
Download or read book Essays on Economic Time Series written by Jen-je Su and published by . This book was released on 1999 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Niels Haldrup
Publisher : Oxford University Press, USA
ISBN 13 : 0199679959
Total Pages : 393 pages
Book Rating : 4.1/5 (996 download)
Download or read book Essays in Nonlinear Time Series Econometrics written by Niels Haldrup and published by Oxford University Press, USA. This book was released on 2014-05 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: A book on nonlinear economic relations that involve time. It covers specification testing of linear versus non-linear models, model specification testing, estimation of smooth transition models, volatility modelling using non-linear model specification, analysis of high dimensional data set, and forecasting.
Author : Tim Bollerslev
Publisher : OUP Oxford
ISBN 13 : 0199549494
Total Pages : 432 pages
Book Rating : 4.1/5 (995 download)
Download or read book Volatility and Time Series Econometrics:Essays in Honor of Robert Engle written by Tim Bollerslev and published by OUP Oxford. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally.Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle's Nobel Prize winning work. Engle's work has had its most profound effect on the modelling of financial variables and several of the chapters use newly developed time series methods to study thebehavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.
Author : Chae-yŏng Kim
Publisher :
ISBN 13 :
Total Pages : 336 pages
Book Rating : 4.:/5 (324 download)
Download or read book Five Essays on the Analysis of Economic Time Series written by Chae-yŏng Kim and published by . This book was released on 1995 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christopher Everett Field
Publisher :
ISBN 13 :
Total Pages : 360 pages
Book Rating : 4.:/5 (835 download)
Download or read book Three Essays on the Analysis of Economic Time Series written by Christopher Everett Field and published by . This book was released on 1996 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robinson Kruse
Publisher :
ISBN 13 :
Total Pages : 220 pages
Book Rating : 4.:/5 (436 download)
Download or read book Essays on Persistence in Economic Time Series written by Robinson Kruse and published by . This book was released on 2009 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Franklin M. Fisher
Publisher :
ISBN 13 :
Total Pages : 186 pages
Book Rating : 4.:/5 (89 download)
Download or read book A Priori Information and Time Series Analysis written by Franklin M. Fisher and published by . This book was released on 1966 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Anna Ovanfors
Publisher :
ISBN 13 : 9789172586833
Total Pages : 125 pages
Book Rating : 4.5/5 (868 download)
Download or read book Essays on Nonlinear Time Series Analysis and Health Economics: uppsatser written by Anna Ovanfors and published by . This book was released on 2006 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lance Joseph Bachmeier
Publisher :
ISBN 13 :
Total Pages : 194 pages
Book Rating : 4.:/5 (518 download)
Download or read book Essays on Forecasting Stationary and Nonstationary Economic Time Series written by Lance Joseph Bachmeier and published by . This book was released on 2002 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Fotis Papailias
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (835 download)
Download or read book Essays in Economic and Financial Time Series Analysis written by Fotis Papailias and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The research presented in this thesis contributes to four areas in the Economic and Financial Time Series Analysis literature. These include the topics of (i) Selection of Long Memory Time Series Models, (ii) Bootstrapping Strongly Dependent Data, (iii) Forecasting Key Macroeconomic Variables and (iv) Portfolio Optimisation. The first part focuses on strongly dependent series. It aims to establish an asymptotically consistent information criterion for long memory processes when the long memory parameter is semi parametrically estimated. A set of Monte Carlo experiments and the analysis of monthly inflation time series show the validity of the new methodology. Next, we are concerned with the issue of bootstrap in strongly dependent data. We introduce a fractional differencing bootstrap methodology that allows the implementation of any resampling method in such series. Evidence of robustness is given by Monte Carlo experiments using various block and residuals resampling schemes. The second part of the thesis investigates the issue of forecasting macroeconomic variables. Heuristic methods for the optimisation of information criteria are employed and their forecasting performance is compared to the standard choices in the literature. The empirical application in Euro Area dataset suggests that the non-standard methods should be taken into consideration as they provide better forecasts on average. The last part of the thesis investigates the applied performance of covariance shrinkage in the portfolio optimisation problem when the universe of assets is large. Our approach suggests the use of a shrinkage coefficient that optimises functions with financial interpretation. Empirical results provide evidence that the shrinkage portfolios obtained using the suggested approach are characterised by higher Sharpe Ratios, cumulative returns and profit/loss ratio.
Author : Mohaimen Mansur
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (16 download)
Download or read book Essays on Forecasting Financial and Economic Time Series written by Mohaimen Mansur and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Walter Krämer
Publisher : Springer Science & Business Media
ISBN 13 : 3642484123
Total Pages : 134 pages
Book Rating : 4.6/5 (424 download)
Download or read book Econometrics of Structural Change written by Walter Krämer and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: Econometric models are made up of assumptions which never exactly match reality. Among the most contested ones is the requirement that the coefficients of an econometric model remain stable over time. Recent years have therefore seen numerous attempts to test for it or to model possible structural change when it can no longer be ignored. This collection of papers from Empirical Economics mirrors part of this development. The point of departure of most studies in this volume is the standard linear regression model Yt = x;fJt + U (t = I, ... , 1), t where notation is obvious and where the index t emphasises the fact that structural change is mostly discussed and encountered in a time series context. It is much less of a problem for cross section data, although many tests apply there as well. The null hypothesis of most tests for structural change is that fJt = fJo for all t, i.e. that the same regression applies to all time periods in the sample and that the disturbances u are well behaved. The well known Chow test for instance assumes t that there is a single structural shift at a known point in time, i.e. that fJt = fJo (t
