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Series Properties (series + property)
Kinds of Series Properties Selected AbstractsArbitrage Bounds and the Time Series Properties of the Discount on UK Closed-End Mutual FundsJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 1-2 2007Laurence Copeland Abstract:, In a dataset of weekly observations over the period since 1990, the discount on UK closed-end mutual funds is shown to be nonstationary, but reverting to a nonzero long run mean. Although the long run discount could be explained by factors like management expenses etc., its short run fluctuations are harder to reconcile with an arbitrage-free equilibrium. In time series terms, there is evidence of long memory in discounts consistent with a bounded random walk. This conclusion is supported by explicit nonlinearity tests, and by results which suggest the behaviour of the discount is perhaps best represented by one of the class of Smooth-Transition Autoregressive (STAR) models. [source] TWIN SONS OF DIFFERENT MOTHERS: THE LONG AND THE SHORT OF THE TWIN DEFICITS DEBATEECONOMIC INQUIRY, Issue 4 2009KEVIN GRIER Interest in the twin deficits hypothesis fluctuates in tandem with the U.S. current account deficit. Surprisingly though, a statistically robust relationship between budget and trade deficits has been difficult to pin down. We argue that a big part of this difficulty is due to the failure to allow for structural breaks in the series when (either explicitly or implicitly) modeling their time series properties. We show that both series are break stationary (and conditionally heteroskedastic) and argue that while there is no common pattern in the long run, the short-run dynamics reveal a sizeable and fairly persistent positive relationship between budget deficit shocks and current account deficit shocks. (JEL F41, E6, H6) [source] Time series analysis of wind speed with time-varying turbulenceENVIRONMETRICS, Issue 2 2006Bradley T. Ewing Abstract The characterization of the time series properties of wind speed, in terms of the mean and variance, is important and relevant to both engineers and businesses. This research investigates the first and second moments of the Texas Tech WERFL wind speed data utilizing the ARMA-GARCH-in-mean framework. The methodology allows the conditional variance to depend on the size of past shocks (i.e. gusts) in the series. Results have important implications for wind energy production as well as for the operational and financial hedging strategies of companies exposed to wind-related risk. The findings can be summarized as follows: (i) mean wind speeds measured at different heights above ground exhibit persistence and are highly dependent on immediate past wind speed values; (ii) regardless of the height at which the data were collected, wind speed exhibits time-varying variance; (iii) persistence in conditional variance increases with height at which the data were collected; (iv) there is strong evidence that conditional volatility is positively correlated with mean wind speed while the magnitude of this relationship declines with height. Copyright © 2005 John Wiley & Sons, Ltd. [source] Long-range dependence in Spanish political opinion poll seriesJOURNAL OF APPLIED ECONOMETRICS, Issue 2 2003Juan J. Dolado This paper investigates the time series properties of partisanship for five political parties in Spain. It is found that pure fractional processes with a degree of integration, d, between 0.6 and 0.8 fit the time-series behaviour of aggregate opinion polls for mainstream parties quite well, whereas values of d in the range of 0.3 to 0.6 are obtained for opinion polls related to smaller regional parties. Those results are in agreement with theories of political allegiance based on aggregation of heterogeneous voters with different degrees of commitment and pragmatism. Further, those models are found to be useful in forecasting the results of the last general elections in Spain. As a further contribution, new econometric techniques for estimation and testing of ARFIMA model are used to provide the previous evidence. Copyright © 2003 John Wiley & Sons, Ltd. [source] Rethinking an old empirical puzzle: econometric evidence on the forward discount anomalyJOURNAL OF APPLIED ECONOMETRICS, Issue 6 2001Professor Alex Maynard Using both semiparametric and parametric estimation methods, this paper corroborates earlier findings of fractionally integrated behaviour in the forward premium. Two new explanations are also proposed to help reconcile earlier conflicting empirical evidence on the time series properties of the forward premium. Traditional regression approaches used to test the forward rate unbiasedness hypothesis are then evaluated, including regression in levels, in returns (Fama's, 1984, regression), and in error-correction format. Interesting statistical and/or interpretive implications are found in all three cases. For example, the predictions of the appropriate nonstandard limit theory are consistent with many of the standard empirical results reported from Fama's regression, including the commonly occurring, yet puzzling negative correlations between spot returns and the forward premium. It is suggested that the principal failure of unbiasedness, may be due instead to the difference in persistence between these two series. Copyright © 2001 John Wiley & Sons, Ltd. [source] Mean Reversion and the Distribution of United Kingdom Stock Index ReturnsJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 9-10 2006David Ashton Abstract:, Our purpose here is to develop the Pearson Type IV distribution as a candidate for modelling the evolution of short period stock index returns. Here, early work by Praetz (1972 and 1978) and Blattberg and Gonedes (1974) has shown that the scaled ,t' distribution, which is a particular (symmetric) interpretation of the Pearson Type IV, provides a reasonable description of the way stock index returns evolve over time. Our analysis shows this is certainly not the case for the daily stock index returns on which our empirical analysis is based. There is significant skewness in the data and this cannot be captured by symmetric distributions like the scaled ,t' and normal distributions. However, the Pearson Type IV, which is a skewed generalisation of the scaled ,t', is capable of modelling the skewness inherent in our data and in such a way that it satisfies asymptotically efficient goodness of fit criteria. Furthermore, the Pearson Type IV can be derived from a stochastic differential equation with standard Markov properties. This enables one to integrate the distributional and time series properties of the returns process and thereby, facilitates both the interpretation and understanding of the role played by the distribution's parameters in the generation of the underlying stock index returns. [source] The Time Series Properties of Financial Ratios: Lev RevisitedJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 5-6 2003Christos Ioannidis This paper re-evaluates the time series properties of financial ratios. It presents new empirical analysis which explicitly allows for the possibility that financial ratios can be characterized as non-linear mean-reverting processes. Financial ratios are widely employed as explanatory variables in accounting and finance research with applications ranging from the determinants of auditors' compensation to explaining firms' investment decisions. An implicit assumption in this empirical work is that the ratios are stationary so that the postulated models can be estimated by classical regression methods. However, recent empirical work on the time series properties of corporate financial ratios has reported that the level of the majority of ratios is described by non-stationary, I(1), integrated processes and that the ratio differences are parsimoniously described by random walks. We hypothesize that financial ratios may follow a random walk near their target level, but that the more distant a ratio is from target, the more likely the firm is to take remedial action to bring it back towards target. This behavior will result in a significant size distortion of the conventional stationarity tests and lead to frequent non-rejection of the null hypothesis of non-stationarity, a finding which undermines the use of these ratios as reliable conditioning variables for the explanation of firms' decisions. [source] The Effect of the Size of the Military on Stock Market Performance in the United States and the UKKYKLOS INTERNATIONAL REVIEW OF SOCIAL SCIENCES, Issue 1 2008William R. DiPietro SUMMARY This paper uses regression analysis to investigate the relationship between military expenditure and stock market performance for the United States and the United Kingdom. Specifically, the study applies the Bierens-Guo unit root procedures to ascertain the time series properties of the variables in the study. The standard OLS technique is employed to determine the influence of military expenditure on stock markets for the period 1914 through 2001. The results from the unit root tests indicate that the military expenditure, military personnel, stock market, and energy consumption series are level stationary. The results from the OLS equations suggest that military expenditure has significantly positive effect on stock market performance for the United States and the United Kingdom. The implication of this finding is that high-income class and people in power are less likely to oppose increases in military spending even though such expenditures are not in the best interest of the society. [source] OPTIMAL AND ADAPTIVE SEMI-PARAMETRIC NARROWBAND AND BROADBAND AND MAXIMUM LIKELIHOOD ESTIMATION OF THE LONG-MEMORY PARAMETER FOR REAL EXCHANGE RATES,THE MANCHESTER SCHOOL, Issue 2 2005SAEED HERAVI The nature of the time series properties of real exchange rates remains a contentious issue primarily because of the implications for purchasing power parity. In particular are real exchange rates best characterized as stationary and non-persistent; nonstationary but non-persistent; or nonstationary and persistent? Most assessments of this issue use the I(0)/I(1) paradigm, which only allows the first and last of these options. In contrast, in the I(d) paradigm, d fractional, all three are possible, with the crucial parameter d determining the long-run properties of the process. This study includes estimation of d by three methods of semi-parametric estimation in the frequency domain, using both local and global (Fourier) frequency estimation, and maximum likelihood estimation of ARFIMA models in the time domain. We give a transparent assessment of the key selection parameters in each method, particularly estimation of the truncation parameters for the semi-parametric methods. Two other important developments are also included. We implement Tanaka's locally best invariant parametric tests based on maximum likelihood estimation of the long-memory parameter and include a recent extension of the Dickey,Fuller approach, referred to as fractional Dickey,Fuller (FD-F), to fractionally integrated series, which allows a much wider range of generating processes under the alternative hypothesis. With this more general approach, we find very little evidence of stationarity for 10 real exchange rates for developed countries and some very limited evidence of nonstationarity but non-persistence, and none of the FD-F tests leads to rejection of the null of a unit root. [source] Does consistent aggregation really matter?AUSTRALIAN JOURNAL OF AGRICULTURAL & RESOURCE ECONOMICS, Issue 2 2001C. Richard Shumway Consistent aggregation ensures that behavioural properties which apply to disaggregate relationships apply also to aggregate relationships. The agricultural economics literature which has tested for consistent aggregation or measured statistical bias and/or inferential errors due to aggregation is reviewed. Tests for aggregation bias and errors of inference are conducted using indices previously tested for consistent aggregation. Failure to reject consistent aggregation in a partition did not entirely mitigate erroneous inference due to aggregation. However, inferential errors due to aggregation were small relative to errors due to incorrect functional form or failure to account for time series properties of data. [source] INFLATION TARGETING AND THE STATIONARITY OF INFLATION: NEW RESULTS FROM AN ESTAR UNIT ROOT TESTBULLETIN OF ECONOMIC RESEARCH, Issue 4 2006Andros Gregoriou E31; C22 ABSTRACT In this paper, we examine the time series properties of inflation in seven countries that have adopted inflation targeting. Unlike previous studies, we utilize a non-linear mean reverting adjustment mechanism for inflation and we discover that, although deviations of inflation from the target can exhibit a region of non-stationary behaviour, overall they are stationary indicating successful targeting implementation. [source] | ||||||||||