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An Assessment of Alternative State Space Models for Count Time Series
Snyder, Ralph D.; Martin, Gael M.; Gould, Phillip; … - Department of Econometrics and Business Statistics, … - 2007
This paper compares two alternative models for autocorrelated count time series. The first model can be viewed as a 'single source of error' discrete state space model, in which a time-varying parameter is specified as a function of lagged counts, with no additional source of error introduced....
Persistent link: https://www.econbiz.de/10005125287
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Parametric Pricing of Higher Order Moments in S&P500 Options.
Lim, G.C.; Martin, G.M.; Martin, V.L. - Department of Econometrics and Business Statistics, … - 2002
A general parametric framework is developed for pricing S&P500 options. Skewness and leptokurtosis in stock returns as …
Persistent link: https://www.econbiz.de/10005087577
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Assessing Dependence Changes in the Asian Financial Market Returns Using Plots Based on Nonparametric Measures
Silvapulle, Param; Zhang, Xibin - Department of Econometrics and Business Statistics, … - 2006
This paper investigates whether or not there are significant changes in the dependence between the Thai equity market … dependence between the Thai market and these six markets have changed. We employ the chi-plot proposed by Fisher and Switzer … (2001) and the Kendall plot proposed by Genest and Boies (2003) to examine the dependence in these six markets for the pre …
Persistent link: https://www.econbiz.de/10005087582
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Estimating Intra Country and Cross Country Purchasing Power Parities from Household Expenditure Data Using Single Equation and Complete Demand Systems Approach: India and Vietnam
Majumder, Amita; Ray, Ranjan; Sinha, Kompal - Department of Econometrics and Business Statistics, … - 2011
This study departs from the previous literature on purchasing power parity (PPP) by proposing a demand system based methodology for calculating the PPP that takes account of consumer preferences and allows for the substitution effect of price changes. The methodology is applied to provide...
Persistent link: https://www.econbiz.de/10009394008
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Estimation in threshold autoregressive models with a stationary and a unit root regime
Gao, Jiti; Tjøstheim, Dag; Yin, Jiying - Department of Econometrics and Business Statistics, … - 2011
This paper treats estimation in a class of new nonlinear threshold autoregressive models with both a stationary and a unit root regime. Existing literature on nonstationary threshold models have basically focused on models where the nonstationarity can be removed by differencing and/or where the...
Persistent link: https://www.econbiz.de/10009318810
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Window Length Selection and Signal-Noise Separation and Reconstruction in Singular Spectrum Analysis
Khan, Md Atikur Rahman; Poskitt, D.S. - Department of Econometrics and Business Statistics, … - 2011
In Singular Spectrum Analysis (SSA) window length is a critical tuning parameter that must be assigned by the practitioner. This paper provides a theoretical analysis of signal-noise separation and reconstruction in SSA that can serve as a guide to optimal window choice. We establish numerical...
Persistent link: https://www.econbiz.de/10009358469
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VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors
Poskitt, D.S.; Yao, Wenying - Department of Econometrics and Business Statistics, … - 2012
In this article we investigate the theoretical behaviour of finite lag VAR(n) models fitted to time series that in truth come from an infinite order VAR(?) data generating mechanism. We show that overall error can be broken down into two basic components, an estimation error that stems from the...
Persistent link: https://www.econbiz.de/10010543599
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Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes
Nadarajah, K.; Martin, Gael M.; Poskitt, D.S. - Department of Econometrics and Business Statistics, … - 2014
In this paper we quantify the impact of model mis-specification on the properties of parameter estimators applied to fractionally integrated processes. We demonstrate the asymptotic equivalence of four alternative parametric methods: frequency domain maximum likelihood, Whittle estimation, time...
Persistent link: https://www.econbiz.de/10010958942
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Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap
Poskitt, D.S.; Martin, Gael M.; Grose, Simone D. - Department of Econometrics and Business Statistics, … - 2014
This paper investigates the use of bootstrap-based bias correction of semi-parametric estimators of the long memory parameter in fractionally integrated processes. The re-sampling method involves the application of the sieve boot-strap to data pre-filtered by a preliminary semi-parametric...
Persistent link: https://www.econbiz.de/10010958954
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Bias Correction of Persistence Measures in Fractionally Integrated Models
Grose, Simone D.; Martin, Gael M.; Poskitt, D.S. - Department of Econometrics and Business Statistics, … - 2014
This paper investigates the accuracy of bootstrap-based bias correction of persistence measures for long memory fractionally integrated processes. The bootstrap method is based on the semi-parametric sieve approach, with the dynamics in the long memory process captured by an autoregressive...
Persistent link: https://www.econbiz.de/10010958957