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on Econometric Time Series |
| By: | Tincho Almuzara (CEMFI, Centro de Estudios Monetarios y Financieros); Dante Amengual (CEMFI, Centro de Estudios Monetarios y Financieros); Enrique Sentana (CEMFI) |
| Abstract: | We exploit the rationale behind the Expectation Maximization algorithm to derive simple to implement and interpret score tests of normality in the innovations to the latent variables in state space models against generalized hyperbolic alternatives, including symmetric and asymmetric Student ts. We decompose our tests into third and fourth moment components, and obtain one-sided likelihood ratio analogues, whose asymptotic distribution we provide. When we apply them to a cointegrated dynamic factor model which combines the expenditure and income versions of US aggregate real output to improve its measurement, we reject normality if the sample period extends beyond the Great Moderation. |
| Keywords: | Gross domestic product, gross domestic income, kurtosis, Kuhn-Tucker test, skewness, supremum test, Wiener-Kolmogorov-Kalman smoother. |
| JEL: | C32 C52 E01 |
| Date: | 2017–02 |
| URL: | http://d.repec.org/n?u=RePEc:cmf:wpaper:wp2018_1708&r=ets |
| By: | Chang, C-L.; Ilomäki, J.; Laurila, H.; McAleer, M.J. |
| Abstract: | The paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affect financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The important issue regarding the predictability of returns is assessed. It is found that performance improves, on average, when the rolling window is expanded and the data frequency is low. However, when the size of the rolling window reaches three years, the frequency loses its significance and all frequencies considered produce similar financial performance. Therefore, the results support stock returns predictability in the long run. The procedure takes account of the issues of variable persistence as we use only returns in the analysis. Therefore, we use the performance of MA rules as an instrument for testing returns predictability in financial stock markets. |
| Keywords: | Trading strategies, Risk, Moving average, Market timing, Returns predictability, Volatility, Rolling window, Data frequency |
| JEL: | C22 C32 C58 G32 |
| Date: | 2018–09–01 |
| URL: | http://d.repec.org/n?u=RePEc:ems:eureir:111556&r=ets |
| By: | Olivier Fortin-Gagnon; Maxime Leroux; Dalibor Stevanovic; Stéphane Surprenant |
| Abstract: | This paper describes a large-scale Canadian macroeconomic database in monthly frequency. The dataset contains hundreds of Canadian and provincial economic indicators observed from 1981. It is designed to be updated regularly through StatCan database and is publicly available. It relieves users to deal with data changes and methodological revisions. We show five useful features of the dataset for macroeconomic research. First, the factor structure explains a sizeable part of variation in Canadian and provincial aggregate series. Second, the dataset is useful to capture turning points of the Cana-dian business cycle. Third, the dataset has substantial predictive power when forecasting key macroeconomic indicators. Fourth, the panel can be used to construct measures of macroeconomic uncertainty. Fifth, the dataset can serve for structural analysis through the factor-augmented VAR model. |
| Keywords: | Big Data,Factor Model,Forecasting,Structural Analysis, |
| Date: | 2018–08–07 |
| URL: | http://d.repec.org/n?u=RePEc:cir:cirwor:2018s-25&r=ets |
| By: | Mariam Camarero (Jaume I University. Department of Economics, Av. de Vicent Sos Baynat s/n, E-12071 Castellón, Spain); Juan Sapena (Catholic University of Valencia, Faculty of Economics and Business. 34 Calle Corona, Valencia, Spain); Cecilio Tamarit (University of Valencia, INTECO Joint Research Unit. Department of Applied Economics II. PO Box 22.006 - E-46071 Valencia, Spain) |
| Abstract: | The aim of this paper is to reexamine the Feldstein-Horioka puzzle in a dynamic framework. We estimate a time-varying saving-investment relationship for a group of 17 countries panel, paying special attention to Eurozone members but including some relevant OECD countries as well for the period 1970-2016. The main advantage of our empirical approach is that it captures the dynamics of the FH coe_cient, highly consistent with increased _nancial integration. Global risk and country size are relevant elements to unpuzzle the savings-investment correlation. The inclusion of time-varying estimates reveal certain heterogeneity among EMU countries on the way and the circumstances under which their domestic investment would be constrained by savings retention. |
| Keywords: | Feldstein-Horioka puzzle, panel unit root tests, multiple structural breaks, Kalman Filter, Time varying parameters |
| JEL: | C23 F32 F36 |
| Date: | 2018–10 |
| URL: | http://d.repec.org/n?u=RePEc:eec:wpaper:1813&r=ets |