nep-ets New Economics Papers
on Econometric Time Series
Issue of 2006‒03‒05
fourteen papers chosen by
Yong Yin
SUNY at Buffalo
  1. Detecting and Predicting Forecast Breakdowns* By Raffella Giacomini; Barbara Rossi
  2. The Integration Order of Vector Autoregressive Processes By Massimo Franchi
  3. Model Uncertainty and Bayesian Model Averaging in Vector Autoregressive Processes By Rodney W. Strachan; Herman K. van Dijk
  4. Volatility, spillover Effects and Correlations in US and Major European Markets By Christos Savva; Denise R Osborn; Len Gill
  5. Mean and variance causality between the Cyprus Stock Exchange and major equity markets By Georgios Kouretas; Eleni Constantinou; Robert Georgiades; Avo Kazandjian
  6. Valuing Structure, Model Uncertainty and Model Averaging in Vector Autoregressive Process By Rodney W Strachan; Herman K van Dijik
  7. Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model By Mattias Villani; Malin Adolfson; Jesper Linde
  8. How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of convergence to PPP By Georgios Chortareas; George Kapetanios
  9. Regime Switching and Artificial Neural Network Forecasting of the Cyprus Stock Exchange Daily Returns By Georgios Kouretas; Eleni Constantinou; Robert Georgiades; Avo Kazandjian
  10. Dynamics of Equity Markets Integration in Europe: Evidence of Change with Events and over Time By Cal Muckley; Raj Aggarwal; Brian Lucey
  11. Are US Output Expectations Unbiased? A Cointegrated VAR Analysis in Real Time By Dimitrios Papaikonomou; Jacinta Pires
  12. Movements in the Equity Premium: Evidence from a Bayesian Time-Varying VAR By Massimiliano De Santis
  13. Mean Reversion in Equity Prices: the G-7 Evidence By John Hatgioannides; Spiros Mesomeris
  14. Measuring inflation persistence: A structural time series approach By Maarten Dossche; Gerdie Everaert
  1. By: Raffella Giacomini (University of California); Barbara Rossi (Los Angeles)
    Date: 2005–12–01
    URL: http://d.repec.org/n?u=RePEc:cla:uclawp:845&r=ets
  2. By: Massimo Franchi (Department of Economics, University of Copenhagen)
    Abstract: We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial. The equivalence with the standard I(1) and I(2) conditions (Johansen, 1996) is proved and polynomial cointegration discussed in the general setup.
    Keywords: unit roots; order of integration; polynomial cointegration
    JEL: C32
    URL: http://d.repec.org/n?u=RePEc:kud:kuiedp:0605&r=ets
  3. By: Rodney W. Strachan; Herman K. van Dijk
    Abstract: Economic forecasts and policy decisions are often informed by empirical analysis based on econometric models. However, inference based upon a single model, when several viable models exist, limits its usefulness. Taking account of model uncertainty, a Bayesian model averaging procedure is presented which allows for unconditional inference within the class of vector autoregressive (VAR) processes. Several features of VAR process are investigated. Measures on manifolds are employed in order to elicit uniform priors on subspaces defined by particular structural features of VARs. The features considered are the number and form of the equilibrium economic relations and deterministic processes. Posterior probabilities of these features are used in a model averaging approach for forecasting and impulse response analysis. The methods are applied to investigate stability of the "Great Ratios" in U.S. consumption, investment and income, and the presence and effects of permanent shocks in these series. The results obtained indicate the feasibility of the proposed method.
    Keywords: Posterior probability; Grassman manifold; Orthogonal group; Cointegration; Model averaging; Stochastic trend; Impulse response; Vector autoregressive model.
    JEL: C11 C32 C52
    Date: 2006–02
    URL: http://d.repec.org/n?u=RePEc:lec:leecon:06/5&r=ets
  4. By: Christos Savva (University of Manchester); Denise R Osborn (University of Manchester); Len Gill (University of Manchester)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:23&r=ets
  5. By: Georgios Kouretas (University of Crete); Eleni Constantinou (The Philips College Cyprus); Robert Georgiades (The Philips College Cyprus); Avo Kazandjian (The Philips College Cyprus)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:24&r=ets
  6. By: Rodney W Strachan (University of Leicester); Herman K van Dijik (Erasmus University Rotterdam)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:30&r=ets
  7. By: Mattias Villani (Sveriges Riksbank); Malin Adolfson (Sveriges Riksbank); Jesper Linde (Sveriges Riksbank)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:32&r=ets
  8. By: Georgios Chortareas (University of Essex); George Kapetanios (Queen Mary University of London)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:36&r=ets
  9. By: Georgios Kouretas (University of Crete); Eleni Constantinou (The Philips College, Cyprus); Robert Georgiades (The Philips College, Cyprus); Avo Kazandjian (The Philips College, Cyprus)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:46&r=ets
  10. By: Cal Muckley (University of Dublin Trinity College); Raj Aggarwal (Kent State University); Brian Lucey (University of Dublin Trinity College)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:48&r=ets
  11. By: Dimitrios Papaikonomou (Ministry of Finance Greece); Jacinta Pires (University of Oxford)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:59&r=ets
  12. By: Massimiliano De Santis (University of California)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:62&r=ets
  13. By: John Hatgioannides (Cass Business School London); Spiros Mesomeris
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:64&r=ets
  14. By: Maarten Dossche (National Bank of Belgium); Gerdie Everaert (Ghent University)
    Date: 2005–09–03
    URL: http://d.repec.org/n?u=RePEc:mmf:mmfc05:85&r=ets
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