The purpose of this paper is to investigate the ability of parameter instability tests in regressions with I(1) processes to discriminate between changes in the cointegrating relationship and changes in the marginal distribution of the regressors. Using annual data for the G-7 countries and the Purchasing Power Parity, we conclude that the regression coefficient between the price level differen...

This paper employs Hamilton’s (1989) original Markov-switching model and time-varying Markov-switching model developed by Filardo (1994), respectively, to investigate the business cycle and evaluate the usefulness of the coincident and leading indexes in dating the business cycle and in predicting future GDP in Taiwan. The empirical results do suggest that these two indexes help date the busine...

Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility. Employing German DAX-index retu...

In Markov-switching regression models, we use Kullback–Leibler (KL) divergence between the true and candidate models to select the number of states and variables simultaneously. Specifically, we derive a new information criterion, Markov switching criterion (MSC), which is an estimate of KL divergence. MSC imposes an appropriate penalty to mitigate the overretention of states in the Markov chai...

In this paper Efficient Importance Sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate Stochastic Volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of high-dimensional interdependent integrals. It can be used to carry out ML-estimation of SV models as we...

This paper presents a novel characterization of continuous time processes that captures the primary idiosyncratic features of many financial time series. We extend the analysis of unit root behaviors to incorporate series that have continuous sampling, but do so in such a way that the overall series does not tend towards explosive paths, as is implied by many unit root setups. In doing so, we e...

The outcome of popular unit root tests depends heavily on the initial condition, i.e. on the difference between the initial observation and the deterministic component. In some applications it is difficult to rule out small or large values of the initial condition a priori, so this dependence can be quite difficult to deal with in practice. We explore a number of methods for constructing unit r...

Reducing carbon dioxide (CO2) emissions has become a global consensus in response to global warming and climate change, especially to China, the largest CO2 emitter in the world. Most studies have focused on CO2 emissions from the production sector, however, the household sector plays an important role in the total energy-related CO2 emissions. This study formulates an integrated model based on...

To comply with recent international trends and initiatives, and in order to help achieve sustainable development, Korea has established a greenhouse gas (GHG) emission reduction target of 37% (851 million tons) of the business as usual (BAU) rate by 2030. Regarding environmentally-oriented standards such as the IGCC (International Green Construction Code), there are also rising demands for the ...

this work investigates the effect of the application rate and type of sludge throughout the soilcarbon cycle in a semiarid mediterranean agro-ecosystem. we study the two-year evolution of the variouspools of soil organic and inorganic carbon and their influence on soil respiration. we applied three rates (40, 80 and 160 mg/ha) of two types of sludge –aerobically and anaerobically digested sewag...