Measuring Conditional Persistence in Time Series
The persistence properties of economic time series has been a primary object of investigation in a variety of guises since the early days of econometrics. This paper suggests investigating the persistence of processes conditioning on their history. In particular we suggest that examining the derivatives of the conditional expectation of a variable with respect to its lags maybe a useful indicator of the variation in persistence with respect to its past history. We discuss in detail the implementation of the measure. We present a Monte Carlo investigation of the suggested measure. We further apply the persistence analysis to real exchange rates.
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- Lavergne, P. & Vuong, Q., 1992.
"Nonparametric Selection of Regressors : the Nonnested Case,"
9204, Southern California - Department of Economics.
- Lavergne, Pascal & Vuong, Quang H, 1996. "Nonparametric Selection of Regressors: The Nonnested Case," Econometrica, Econometric Society, vol. 64(1), pages 207-19, January.
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Cambridge University Press, number 9780521586115.
- George Kapetanios & Yongcheol Shin, 2002. "GLS Detrending for Nonlinear Unit Root Tests," Working Papers 472, Queen Mary University of London, School of Economics and Finance.
- Kapetanios, G., 1999. "Threshold Models for Trended Time Series," Cambridge Working Papers in Economics 9905, Faculty of Economics, University of Cambridge.
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