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  1. Dynamic partial correlation models
    Autor*in: D'Innocenzo, Enzo; Lucas, André
    Erschienen: [2022]
    Verlag:  Tinbergen Institute, Amsterdam, The Netherlands

    We introduce a new, easily scalable model for dynamic conditional correlation matrices based on a recursion of dynamic bivariate partial correlation models. By exploiting the model's recursive structure and the theory of perturbed stochastic... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 432
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    We introduce a new, easily scalable model for dynamic conditional correlation matrices based on a recursion of dynamic bivariate partial correlation models. By exploiting the model's recursive structure and the theory of perturbed stochastic recurrence equations, we establish stationarity, ergodicity, and filter invertibility in the multivariate setting using conditions for bivariate slices of the data only. From this, we establish consistency and asymptotic normality of the maximum likelihood estimator for the model's static parameters. The new model outperforms benchmarks like the t-cDCC and the multivariate t-GAS, both in simulations and in an in-sample and outof-sample asset pricing application to 1980-2021 US stock returns across twelve industries.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/265846
    Schriftenreihe: Array ; TI 2022, 070
    Schlagworte: Dynamic partial correlations; perturbed stochastic recurrence equations; invertibility; stationarity
    Umfang: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  2. Reflections on "testing for unit roots in heterogeneous panels"
    Autor*in: Im, KyungSo; Pesaran, M. Hashem; Shin, Yongcheol
    Erschienen: 11 January, 2023
    Verlag:  University of Cambridge, Faculty of Economics, [Cambridge]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
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    Schriftenreihe: Cambridge working paper in economics ; 2310
    Schlagworte: Dickey and Fuller statistic; stationarity; panel unit root tests; prevalence of unitroots
    Umfang: 1 Online-Ressource (circa 11 Seiten), Illustrationen
  3. Reflections on "testing for unit roots in heterogeneous panels"
    Autor*in: Im, KyungSo; Pesaran, M. Hashem; Shin, Yongcheol
    Erschienen: January 2023
    Verlag:  CESifo, Munich, Germany

    This article is our personal perspective on the IPS test and the subsequent developments of unit root and cointegration tests in dynamic panels with and without cross-section dependence. In this note, we discuss the main idea behind the test and the... mehr

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    This article is our personal perspective on the IPS test and the subsequent developments of unit root and cointegration tests in dynamic panels with and without cross-section dependence. In this note, we discuss the main idea behind the test and the publication process that led to Im, Pesaran and Shin (2003).

     
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    Sprache: Englisch
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    Weitere Identifier:
    hdl: 10419/271872
    Schriftenreihe: CESifo working papers ; 10228 (2023)
    Schlagworte: Dickey and Fuller statistic; stationarity; panel unit root tests; prevalence of unit roots
    Umfang: 1 Online-Ressource (circa 12 Seiten)
  4. Closer to one great pool?
    evidence from structural breaks in oil price differentials
    Autor*in: Plante, Michael; Strickler, Grant
    Erschienen: February 5, 2019
    Verlag:  Federal Reserve Bank of Dallas, Research Department, Dallas

    We show that the oil market has become closer to "one great pool," in the sense that price differentials between crude oils of different qualities have generally become smaller over time. We document, in particular, that many of these quality-related... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We show that the oil market has become closer to "one great pool," in the sense that price differentials between crude oils of different qualities have generally become smaller over time. We document, in particular, that many of these quality-related differentials experienced a major structural break in or around 2008, after which there was a marked reduction in their means and, in many cases, volatilities. Several factors explain these shifts, including a growing ability of the global refinery sector to process lower-quality crude oil and the U.S. shale boom, which has unexpectedly boosted the supply of high-quality crude oil. Differentials between crude oils of similar quality in general did not experience breaks in or around 2008, although we do find evidence of breaks at other times. We also show that these structural breaks can affect tests of stationarity for many price differentials

     
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    Sprache: Englisch
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    Format: Online
    Schriftenreihe: Working paper / Federal Reserve Bank of Dallas, Research Department ; 1901
    FRB of Dallas Working Paper ; No. 1901
    Schlagworte: crude oil price differentials; oil; structural breaks; stationarity
    Umfang: 1 Online-Ressource (circa 60 Seiten), Illustrationen
  5. Long-term effects of shocks on new opportunity and necessity entrepreneurship
    Autor*in: Congregado, Emilio; Fossen, Frank M.; Rubino, Nicola; Troncoso, David
    Erschienen: April 2024
    Verlag:  IZA - Institute of Labor Economics, Bonn, Germany

    The dynamics of startup activity are crucial for job creation, innovation, and a competitive economy. Does regional firm formation exhibit hysteresis, such that shocks, including those induced by temporary policy interventions, have permanent... mehr

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    The dynamics of startup activity are crucial for job creation, innovation, and a competitive economy. Does regional firm formation exhibit hysteresis, such that shocks, including those induced by temporary policy interventions, have permanent effects? Due to the pronounced heterogeneity among new entrepreneurs, it is important to distinguish between those pulled by opportunity and those pushed by necessity. This distinction allows evaluating the long-term effects of policies aimed at stimulating opportunity entrepreneurship versus active labor-market policies supporting self-employment as a way out of unemployment. Based on 84 waves of quarterly microdata from the Spanish Labor Force Survey, we create time series of new opportunity and new necessity entrepreneurship for the 17 Spanish regions. To test whether exogenous shocks have long-run effects on firm formation, we apply a battery of panel data and time series unit root tests accounting for deterministic breaks. We also present results for the different Spanish regions and industrial sectors. We find that hysteresis is more widespread in new opportunity than in new necessity entrepreneurship, implying that shocks and temporary policies are more likely to shift opportunity than necessity entrepreneurship in the long run. Moreover, we document that the global Financial Crisis of 2008 changed the technology of firm formation out of opportunity, but not out of necessity. Our analysis opens the door to further research on the long-term effectiveness of a regional and sectoral policy mix of entrepreneurship promotion and active labor market policies.

     
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    Sprache: Englisch
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    Weitere Identifier:
    hdl: 10419/295953
    Schriftenreihe: Discussion paper series / IZA ; no. 16930
    Schlagworte: self-employment; opportunity entrepreneurship; necessity entrepreneurship; firm formation; hysteresis; stationarity; regions
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  6. Eigen–analysis for high–dimensional time series clustering
    Autor*in: Zhang, Bo; Gao, Jiti; Pan, Guangming; Yang, Yanrong
    Erschienen: [2023]
    Verlag:  [Monash University, Department of Econometrics and Business Statistics], [Victoria, Australia]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Schriftenreihe: Working paper / Monash University, Department of Econometrics and Business Statistics ; no. 23, 22 (November 2023)
    Schlagworte: Factor model; non-stationarity; sample covariance matrix; stationarity
    Umfang: 1 Online-Ressource (circa 60 Seiten), Illustrationen
  7. Persistencia de la inflación en Venezuela
    un enfoque semiparamétrico = Inflation persistence in Venezuela
    Autor*in: Zambrano, José A.
    Erschienen: [2016]
    Verlag:  Banco Central de Venezuela, Gerencia de Investigaciones Económicas, Caracas

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Quelle: Verbundkataloge
    Sprache: Spanisch
    Medientyp: Buch (Monographie)
    Format: Online
    Auflage/Ausgabe: Versión preliminar
    Schriftenreihe: Serie Documentos de trabajo / BCV, Banco Central de Venezuela ; (no. 157) (junio 2016)
    Colección economía y finanzas
    Schlagworte: Integrated processes; fractional processes; stationarity; Arima; Fourier frequency
    Umfang: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  8. Fiscal sustainability
    a panel assessment for advanced economies
    Autor*in: Afonso, António; Jalles, João Tovar
    Erschienen: [2015]
    Verlag:  ISEG - School of Economics and Management, Department of Economics, University of Lisbon, Lisbon

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Quelle: Verbundkataloge
    Sprache: Englisch
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    Format: Online
    Weitere Identifier:
    hdl: 10400.5/8143
    Schriftenreihe: Working papers / ISEG, School of Economics and Management, Department of Economics ; WP 2015, 05 DE/UECE
    Schlagworte: debt; primary balance; stationarity; panel analysis; FMOLS
    Umfang: 1 Online-Ressource (circa 8 Seiten)
  9. The linear systems approach to linear rational expectations models
    Autor*in: Sadoon, Majid M. al-
    Erschienen: November 16, 2016
    Verlag:  GSE, Graduate School of Economics, Barcelona

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    Sprache: Englisch
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    Auflage/Ausgabe: This version November 2016
    Schriftenreihe: Barcelona GSE working paper series ; no 875
    Schlagworte: Rational expectations; linear systems; Wiener-Hopf factorization; vector autoregressive processes; stationarity; cointegration
    Umfang: 1 Online-Ressource (circa 37 Seiten), Illustrationen