Results 81 to 90 of about 44,722 (216)

Stationarity as a path property [PDF]

, 2019
Traditionally, stationarity refers to shift invariance of the distribution of a stochastic process. In this paper, we rediscover stationarity as a path property instead of a distributional property. More precisely, we characterize a set of paths, denoted
Shen, Yi, Wirjanto, Tony S.
core   +1 more source

Mean Group Tests for Stationarity in Heterogenous Panels [PDF]

This paper proposes the panel-based mean group tests for the null of stationarity against the alternative of unit roots in the presence of both heterogeneity across crosssection units and serial correlation across time periods.
Andy Snell, Yongcheol Shin
core  

Stationarity and Ergodicity [PDF]

, 2009
In computing time averages of optical fields, we regard the ensembles to be stationary and ergodic. Stationarity means that all ensemble averages are independent of the time origin; and ergodicity implies that each ensemble average is equal to the time average involving a typical member of the ensemble.
openaire   +1 more source

PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-sectional Dependency and Structural Breaks [PDF]

The stationarity of OECD real exchange rates over the period 1972-2008 is tested using a panel of twenty six member countries. The methodology followed stems from the need to meet several key concerns: (i) the identification of which panel members are ...
Mark J. Holmes, Theodore Panagiotidis, Jesús Otero   +2 more
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Cointegration and US Regional gasoline prices: Testing market efficiency from the stationarity of price proportions [PDF]

, 2013
It is well known that oil price shocks are a major concern to the health of the global economy. Unstable oil prices have a significant negative impact on consumer confidence and business decision making.
Hunter, J, Tabaghdehi, SA
core  

Unit-root and stationarity testing with empirical application on industrial production of CEE-4 countries [PDF]

The purpose of this paper is to explain both the need and the procedures of unit-root testing to a wider audience. The topic of stationarity testing in general and unit root testing in particular is one that covers a vast amount of research. We have been
Výrost, Tomáš, Lyócsa, Štefan, Baumöhl, Eduard   +2 more
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Size distortions of tests of the null hypothesis of stationarity: Evidence and implications for applied work [PDF]

It is common in applied econometrics to test the null hypothesis of a level-stationary process against the alternative of a unit root process. We show that the use of conventional asymptotic critical values for the stationarity tests of Kwiatkowski et al.
Kilian, Lutz, Caner, Mehmet
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Periodic Asymmetric LogGARCH Stochastic Volatility Models: Structure and Application

Axioms
This paper introduces a new class of periodic volatility models, namely, the Stochastic Volatility Periodic Logarithmic Asymmetric GARCH (PlogAG-SV) model.
Omar Alzeley, Ahmed Ghezal
doaj   +1 more source

A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models [PDF]

In this note we look at sufficient conditions for stationarity of a simple random coefficient model and find that this model is guaranteed to be stationary under strict conditions. J.E.L.
George Kapetanios
core  

Stock return predictability and stationarity of dividend yield [PDF]

This paper first investigates the stationarity of dividend yield and then analyzes the predictive ability of the adjusted dividend yield which removes structural changes and high persistence characteristics. Empirical results have found that the dividend
Kuang-Liang Chang
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