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Statistical inference for a random coefficient autoregressive model
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In this article, a first-order autoregressive (AR(1)) model is considered, involving a coefficient that is a random variable, and may vary over realizations, and the moments of the coefficient can be identified in terms of the autocovariances.Abstract:
A first-order autoregressive (AR(1)) model is considered, involving a coefficient that is a random variable, and may vary over realizations. In the usual AR(1) model the coefficient has a degenerate distribution, and is thus constant over realizations. We show how moments of the coefficient can be identified in terms of the autocovariances. Using mixed cross-section and time series data, we show how the moments can be estimated, and establish the strong consistency and asymptotic normality of the estimators. We suggest several parametric forms for the distribution of the coefficient, and show how unknown parameters may be determined. The results are applied to real data.read more
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Journal ArticleDOI
Long memory processes and fractional integration in econometrics
TL;DR: A survey and review of the major econometric work on long memory processes, fractional integration, and their applications in economics and finance and some of the definitions of long memory are reviewed.
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Real and Spurious Long Memory Properties of Stock Market Data
Ignacio N. Lobato,N.E. Savin +1 more
TL;DR: In this article, the presence of long memory in daily stock returns and their squares was tested using a robust semiparametric procedure, and the results showed that long memory can be produced by nonstationarity and aggregation.
Journal ArticleDOI
Testing of unit root and other nonstationary hypotheses in macroeconomic time series
TL;DR: In this paper, the authors applied the tests for unit root and other nonstationarity of Robinson (1994a) to an extended version of the data set used by Nelson and Plosser (1982).
Journal ArticleDOI
Real and Spurious Long-Memory Properties of Stock-Market Data
Ignacio N. Lobato,N.E. Savin +1 more
TL;DR: In this paper, the presence of long memory in daily stock returns and their squares was tested using a robust semiparametric procedure of Lobato and Robinson, which showed no evidence of long-term memory in the returns and strong evidence in the squared returns.
Posted Content
Testing of Unit Root and Other Nonstationary Hypotheses in Macroeconomic Time Series - (Now published in 'Journal of Econometrics', 80, 1997, pp.241-268.)
TL;DR: In this article, the authors applied the tests for unit root and other nonstationarity of Robinson (1994a) to an extended version of the data set used by Nelson and Plosser (1982) and found that consumer price index and money stock seem the most nonstationary, while industrial production and unemployment rate seem the closest to stationarity.
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