ERN: Time-Series Models (Single) (Topic)最新文献_第7页

Orthogonal Transformation of Coordinates in Copula M-GARCH Models - Bayesian Analysis for WIG20 Spot and Futures Returns Copula M-GARCH模型坐标的正交变换——WIG20现货和期货收益的贝叶斯分析

ERN: Time-Series Models (Single) (Topic) Pub Date : 2013-05-02 DOI: 10.2139/ssrn.2264084

Mateusz Pipień

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引用次数: 3

Nonparametric Specification Testing in Nonlinear and Nonstationary Time Series Models: Theory and Practice 非线性非平稳时间序列模型的非参数规格检验:理论与实践

ERN: Time-Series Models (Single) (Topic) Pub Date : 2013-03-18 DOI: 10.2139/ssrn.2235356

Jia Chen, Jiti Gao, Degui Li, Zhengyan Lin

{"title":"Nonparametric Specification Testing in Nonlinear and Nonstationary Time Series Models: Theory and Practice","authors":"Jia Chen, Jiti Gao, Degui Li, Zhengyan Lin","doi":"10.2139/ssrn.2235356","DOIUrl":"https://doi.org/10.2139/ssrn.2235356","url":null,"abstract":"In this paper, we consider some specification testing problems in nonlinear time series models with nonstationarity. We propose using a nonparametric kernel test for specifying whether the regression function is of a known parametric nonlinear form. The power function of the proposed nonparametric test is systematically studied and an asymptotic distribution of the test statistic is shown to depend on the asymptotic behavior of the so called \"distance function\" under a sequence of general semiparametric local alternatives. The asymptotic theory developed in this paper differs from existing work on nonparametric specification testing in the stationary time series case. In order to implement the proposed test in practice, a computer-intensive bootstrap simulation procedure is introduced and asymptotic approximations for both the size and power functions are established. Furthermore, the bandwidth involved in the test is selected by maximizing the power function while the size function is controlled by a significance level. Meanwhile, both simulated and real data examples are provided to illustrate the proposed theory and methodology.","PeriodicalId":418701,"journal":{"name":"ERN: Time-Series Models (Single) (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125589742","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 7

Nonparametric HAC Estimation for Time Series Data with Missing Observations 缺失观测值时间序列数据的非参数HAC估计

ERN: Time-Series Models (Single) (Topic) Pub Date : 2012-11-09 DOI: 10.2139/ssrn.2180964

D. Datta, Wenxin Du

引用次数: 24

Finite Sample Mean Square Error of Forecast for the Difference Stationary and the Trend Stationary Processes. 差分平稳和趋势平稳过程预测的有限样本均方误差。

ERN: Time-Series Models (Single) (Topic) Pub Date : 2012-09-11 DOI: 10.2139/ssrn.2144876

Naresh C. Mallick

引用次数: 0

Chinese Real Estate Market Performance: Stock Market Linkages, Liquidity Pressures, and Inflationary Effects 中国房地产市场表现:股票市场联系、流动性压力和通胀效应

ERN: Time-Series Models (Single) (Topic) Pub Date : 2012-08-01 DOI: 10.2139/ssrn.2143240

R. Burdekin, R. Tao

引用次数: 19

Competitive Balance: Time Series Lessons from the English Premier League 竞争平衡:来自英超联赛的时间序列教训

ERN: Time-Series Models (Single) (Topic) Pub Date : 2012-07-01 DOI: 10.1111/j.1467-9485.2012.00580.x

Y. H. Lee, R. Fort

引用次数: 40

Structural Policies and Growth: Time Series Evidence from a Natural Experiment 结构性政策与增长:来自自然实验的时间序列证据

ERN: Time-Series Models (Single) (Topic) Pub Date : 2012-05-08 DOI: 10.2139/ssrn.2054967

T. Eicher, Till Schreiber

引用次数: 79

Market Integration, Efficiency, and Interconnectors: The Irish Single Electricity Market 市场整合、效率和互联:爱尔兰单一电力市场

ERN: Time-Series Models (Single) (Topic) Pub Date : 2012-03-18 DOI: 10.2139/ssrn.2025628

Rabindra Nepal, T. Jamasb

{"title":"Market Integration, Efficiency, and Interconnectors: The Irish Single Electricity Market","authors":"Rabindra Nepal, T. Jamasb","doi":"10.2139/ssrn.2025628","DOIUrl":"https://doi.org/10.2139/ssrn.2025628","url":null,"abstract":"Interconnections can be an effective way to increase competition in wholesale electricity markets in particular for smaller markets with few actors. This paper quantitatively examines the potentials for interconnections in the Irish Single Electricity Market (SEM). We use a time-varying Kalman filter technique to assess the degree of market integration between SEM and other large, mature and interconnected wholesale electricity markets in Europe. The results indicate a low degree of market integration between SEM and other European markets and thereby raising the possibility to benefit from increased electricity trade. As wholesale prices in SEM remain relatively high and volatile; a larger interconnector capacity can promote competition, close the gap with the European wholesale prices, improve security of supply, and mitigate price volatility. The results indicate that wholesale spot trading of renewable may not increase market integration. The results suggest that an interconnector capacity amounting to about 21% of generation capacity in SEM is likely to achieve an integration coefficient of 0.86 similar to what currently exists between the markets in Austria and the Netherlands.","PeriodicalId":418701,"journal":{"name":"ERN: Time-Series Models (Single) (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129652203","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 4

Sieve Inference on Semi-Nonparametric Time Series Models 半非参数时间序列模型的筛选推理

ERN: Time-Series Models (Single) (Topic) Pub Date : 2012-02-21 DOI: 10.2139/ssrn.2008720

Xiaohong Chen, Z. Liao, Yixiao Sun

{"title":"Sieve Inference on Semi-Nonparametric Time Series Models","authors":"Xiaohong Chen, Z. Liao, Yixiao Sun","doi":"10.2139/ssrn.2008720","DOIUrl":"https://doi.org/10.2139/ssrn.2008720","url":null,"abstract":"The method of sieves has been widely used in estimating semiparametric and nonparametric models. In this paper, we first provide a general theory on the asymptotic normality of plug-in sieve M estimators of possibly irregular functionals of semi/nonparametric time series models. Next, we establish a surprising result that the asymptotic variances of plug-in sieve M estimators of irregular (i.e., slower than root-T estimable) functionals do not depend on temporal dependence. Nevertheless, ignoring the temporal dependence in small samples may not lead to accurate inference. We then propose an easy-to-compute and more accurate inference procedure based on a \"pre-asymptotic\" sieve variance estimator that captures temporal dependence. We construct a \"pre-asymptotic\" Wald statistic using an orthonormal series long run variance (OS-LRV) estimator. For sieve M estimators of both regular (i.e., root-T estimable) and irregular functionals, a scaled \"pre-asymptotic\" Wald statistic is asymptotically F distributed when the series number of terms in the OS-LRV estimator is held fixed. Simulations indicate that our scaled \"pre-asymptotic\" Wald test with F critical values has more accurate size in finite samples than the usual Wald test with chi-square critical values.","PeriodicalId":418701,"journal":{"name":"ERN: Time-Series Models (Single) (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126677091","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 12

Extracting Non-Linear Signals from Several Economic Indicators 从几种经济指标中提取非线性信号

ERN: Time-Series Models (Single) (Topic) Pub Date : 2012-02-07 DOI: 10.2139/ssrn.2000676

Máximo Camacho, Gabriel Pérez-Quirós, Pilar Poncela

引用次数: 57