A smooth permanent surge process

Arbeitspapier

In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a limiting case it converges to Threshold Integrated Moving Average [TIMA] models by Gonzalo and Martinez (2003). A test of SPS against STOPBREAK process is presented. Additionally, we introduce a new test for testing SPS process against the random walk. The small sample properties of these tests are investigated by Monte Carlo experiments. An application to the stock markets is presented.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SSE/EFI Working Paper Series in Economics and Finance ; No. 572

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Hypothesis Testing: General ; Statistical Simulation Methods: General ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Model Construction and Estimation ; Model Evaluation, Validation, and Selection
• Thema: Linearity test ; Monte Carlo testing ; Smooth transitions ; Moving Averages Models ; Permanent Shock ; Transitory Shocks ; Monte-Carlo-Methode ; Stochastischer Prozess

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): González, Andrés
• Ereignis: Veröffentlichung
• (wer): Stockholm School of Economics, The Economic Research Institute (EFI)
• (wo): Stockholm
• (wann): 2004

Weitere Informationen

• Handle: http://hdl.handle.net/10419/56145
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ