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.
|Date of creation:||Nov 2002|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +44 (0) 20 7882 5096
Fax: +44 (0) 20 8983 3580
Web page: http://www.econ.qmul.ac.uk
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Kapetanios, G., 1999. "Threshold Models for Trended Time Series," Cambridge Working Papers in Economics 9905, Faculty of Economics, University of Cambridge.
- 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.
- repec:cup:cbooks:9780521355643 is not listed on IDEAS
- repec:cup:cbooks:9780521586115 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:qmw:qmwecw:wp474. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Nick Vriend)
If references are entirely missing, you can add them using this form.