We perform a series of Monte Carlo experiments in order to evaluate the impact of data transformation on forecasting models, and ̄nd that vector error-corrections dominate di®erenced data vector autoregressions when the correct data transformation is used, but not when data are incorrectly tansformed, even if the true model contains cointegrating restrictions. We argue that one reason for this ...

This paper studies the information content of some Ifo indicators. In particular, we investigate whether two Ifo indicators, one on the current business situation, the other on current production development, provide information on revisions of German industrial production. A new feature of our analysis is the construction and use of a real-time dataset. We conclude that the Ifo indicators play...

This paper reviews the analysis of the threshold autoregressive, smooth threshold autoregressive, and Markov switching autoregressive models from the Bayesian perspective. For each model we start by describing a baseline model and discussing possible extensions and applications. Then we review the choice of prior, inference, tests against the linear hypothesis, and conclude with models selectio...

Multiresolution wavelet analysis is a natural way to decompose economic time series into components of various frequencies: long-run trend, business-cycle component, and high frequency noise. This paper illustrates the method on real GNP and inflation. The business-cycle component of the wavelet-filtered series closely resembles the series filtered by the approximate bandpass filter (Baxter and...

t his paper investigates the asymmetric behavior of inflation. we use logistic smooth transition autoregressive (lstar) model to characterize the regime-switching behavior of iran’s monthly inflation during the period may 1990 to december 2013. we find that there is a triple relationship between the inflation level, its fluctuations and persistence. the findings imply that the behavior of infla...

We address the question of unemployment hysteresis within the context of ARFIMA models. Our results suggest that in the post-1973 era, hysteresis is considerably less of a stylized fact for the unemployment rates of key OECD economies. JEL Categories C22, E30 Please address all correspondence to: Philip Rothman, Department of Economics, Brewster * Building, East Carolina University, Greenville,...

In this paper we generalize the KPSS-type test to allow for two structural breaks. Seven models have been de…ned depending on the way that the structural breaks a¤ect the time series behaviour. The paper derives the limit distribution of the test both under the null and the alternative hypotheses and conducts a set of simulation experiments to analyse the performance in …nite samples. Keywords:...

A new approach to robust testing in cointegrated systems is proposed using nonparametric HAC estimators without truncation. While such HAC estimates are inconsistent, they still produce asymptotically pivotal tests and, as in conventional regression settings, can improve testing and inference. JEL Classi…cation: C12; C14; C22 Keywords: Cointegration, HAC estimation, robust inference, steep orig...

This paper derives analytical results for determination of the window size that explores the trade-off between bias and forecast error variance to minimize the mean squared forecast error in the presence of breaks. We show analytically how to determine the estimation window optimally for the case with strictly exogenous regressors. Through Monte Carlo simulations the paper compares the performa...

This paper analyzes the asymptotic behavior of two types of so-called KPSS tests when a logarithm transformation has been applied spuriously to data that are themselves an integrated time series. Although a different limit distribution is obtained, the asymptotic convergence behavior of the KPSS statistic is reminiscent of that of integrated time series, and it is shown that the KPSS test canno...