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- SSE/EFI Working Paper Series in Economics and Finance
A Smooth Permanent Surge Process
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Blogs Publicados
General
Resumen
- 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.
autores
fecha de publicación
- 2004-12
Área temática
- C12 - Contraste de hipótesis: generalidades
- C15 - Métodos de simulación estadística: generalidades
- C22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión
- C51 - Construcción de modelos y estimación
- C52 - Evaluación, contraste y selección de modelos
Investigaciones
Líneas de investigación
- Linearity Test
- Monte Carlo Testing
- Moving Averages Models
- Permanent Shock
- Smooth Transitions
Información Adicional
Issue
- 572