The Experts below are selected from a list of 114 Experts worldwide ranked by ideXlab platform
Pedro Garcia Duarte - One of the best experts on this subject based on the ideXlab platform.
-
Inércia de Juros e Regras de Taylor: explorando as Funções de Resposta a Impulso em Um Modelo de Equilíbrio Geral Com Parâmetros Estilizados para o Brasil
2020Co-Authors: Dionísio Dias Carneiro, Pedro Garcia DuarteAbstract:The fit of empirical Taylor Rules to Brazilian data improves if we consider the hypothesis of interest rate inertia. Inertia seems to be part of monetary policy of several countries and reflects the action of Central Banks of not adjusting once-for-all to changing conditions. This article extends the concept of inertia considered by Duarte (2001) in the general intertemporal equilibrium model developed by Woodford (2000(b)), which corresponds to the monetary shock first-order Autoregressive Coefficient. We explore here the concept of inertia related to the presence of first lag of interest rate in the three Taylor rules examined in characterization of impulse response functions of variables to a monetary shock. The short run response of variables and the time it takes for their return to equilibrium depend more on the Autoregressive Coefficient of the shock than on the interest rate inertia. But this inertia is important when the Taylor Rule includes lagged inflation and output, because in this case, a smaller oscillation of the response of variables to shocks is obtained. It is also important in the case of forward looking Taylor Rule.(This abstract was borrowed from another version of this item.)
-
Inércia de juros e regras de Taylor: Explorando as funções de resposta a impulso em um modelo de equilíbrio geral com parâmetros estilizados para o Brazil
2001Co-Authors: Dionísio Dias Carneiro, Pedro Garcia DuarteAbstract:The fit of empirical Taylor Rules to Brazilian data improves if we consider the hypothesis of interest rate inertia. Inertia seems to be part of monetary policy of several countries and reflects the action of Central Banks of not adjusting once-for-all to changing conditions. This article extends the concept of inertia considered by Duarte (2001) in the general intertemporal equilibrium model developed by Woodford (2000(b)), which corresponds to the monetary shock first-order Autoregressive Coefficient. We explore here the concept of inertia related to the presence of first lag of interest rate in the three Taylor rules examined in characterization of impulse response functions of variables to a monetary shock. The short run response of variables and the time it takes for their return to equilibrium depend more on the Autoregressive Coefficient of the shock than on the interest rate inertia. But this inertia is important when the Taylor Rule includes lagged inflation and output, because in this case, a smaller oscillation of the response of variables to shocks is obtained. It is also important in the case of forward looking Taylor Rule.
K. Drouiche - One of the best experts on this subject based on the ideXlab platform.
-
Testing proportionality for Autoregressive processes
IEEE Transactions on Information Theory, 2003Co-Authors: K. DrouicheAbstract:We introduce a new hypothesis test to determine wether or not two Autoregressive spectral densities are proportional. A test for Autoregressive Coefficient nullity or randomness is deduced. We also derive the exact asymptotic behavior for these tests under parametric alternatives and show that, given a significance level, our tests are the most powerful (MP) tests among all tests.
-
A test of homogeneity for Autoregressive processes
International Journal of Adaptive Control and Signal Processing, 2002Co-Authors: Rafael Martínez Pedro Gómez, K. DrouicheAbstract:In this paper, we introduce a new hypothesis test to determine whether or not two spectral densities are proportional. We deliberately limit our study to Autoregressive processes and derive the asymptotic behaviour of the test. A test for Autoregressive Coefficient nullity or randomness is deduced. We derive asymptotic behaviour for these tests and show the usefulness of our test to detect speech in a noisy environment. Copyright © 2002 John Wiley & Sons, Ltd.
Dionísio Dias Carneiro - One of the best experts on this subject based on the ideXlab platform.
-
Inércia de Juros e Regras de Taylor: explorando as Funções de Resposta a Impulso em Um Modelo de Equilíbrio Geral Com Parâmetros Estilizados para o Brasil
2020Co-Authors: Dionísio Dias Carneiro, Pedro Garcia DuarteAbstract:The fit of empirical Taylor Rules to Brazilian data improves if we consider the hypothesis of interest rate inertia. Inertia seems to be part of monetary policy of several countries and reflects the action of Central Banks of not adjusting once-for-all to changing conditions. This article extends the concept of inertia considered by Duarte (2001) in the general intertemporal equilibrium model developed by Woodford (2000(b)), which corresponds to the monetary shock first-order Autoregressive Coefficient. We explore here the concept of inertia related to the presence of first lag of interest rate in the three Taylor rules examined in characterization of impulse response functions of variables to a monetary shock. The short run response of variables and the time it takes for their return to equilibrium depend more on the Autoregressive Coefficient of the shock than on the interest rate inertia. But this inertia is important when the Taylor Rule includes lagged inflation and output, because in this case, a smaller oscillation of the response of variables to shocks is obtained. It is also important in the case of forward looking Taylor Rule.(This abstract was borrowed from another version of this item.)
-
Inércia de juros e regras de Taylor: Explorando as funções de resposta a impulso em um modelo de equilíbrio geral com parâmetros estilizados para o Brazil
2001Co-Authors: Dionísio Dias Carneiro, Pedro Garcia DuarteAbstract:The fit of empirical Taylor Rules to Brazilian data improves if we consider the hypothesis of interest rate inertia. Inertia seems to be part of monetary policy of several countries and reflects the action of Central Banks of not adjusting once-for-all to changing conditions. This article extends the concept of inertia considered by Duarte (2001) in the general intertemporal equilibrium model developed by Woodford (2000(b)), which corresponds to the monetary shock first-order Autoregressive Coefficient. We explore here the concept of inertia related to the presence of first lag of interest rate in the three Taylor rules examined in characterization of impulse response functions of variables to a monetary shock. The short run response of variables and the time it takes for their return to equilibrium depend more on the Autoregressive Coefficient of the shock than on the interest rate inertia. But this inertia is important when the Taylor Rule includes lagged inflation and output, because in this case, a smaller oscillation of the response of variables to shocks is obtained. It is also important in the case of forward looking Taylor Rule.
Peter C.b. Phillips - One of the best experts on this subject based on the ideXlab platform.
-
Boundary Limit Theory for Functional Local to Unity Regression
Journal of Time Series Analysis, 2018Co-Authors: Anna Bykhovskaya, Peter C.b. PhillipsAbstract:This article studies functional local unit root models (FLURs) in which the Autoregressive Coefficient may vary with time in the vicinity of unity. We extend conventional local to unity (LUR) models by allowing the localizing Coefficient to be a function which characterizes departures from unity that may occur within the sample in both stationary and explosive directions. Such models enhance the flexibility of the LUR framework by including break point, trending, and multidirectional departures from unit Autoregressive Coefficients. We study the behavior of this model as the localizing function diverges, thereby determining the impact on the time series and on inference from the time series as the limits of the domain of definition of the Autoregressive Coefficient are approached. This boundary limit theory enables us to characterize the asymptotic form of power functions for associated unit root tests against functional alternatives. Both sequential and simultaneous limits (as the sample size and localizing Coefficient diverge) are developed. We find that asymptotics for the process, the Autoregressive estimate, and its t-statistic have boundary limit behavior that differs from standard limit theory in both explosive and stationary cases. Some novel features of the boundary limit theory are the presence of a segmented limit process for the time series in the stationary direction and a degenerate process in the explosive direction. These features have material implications for Autoregressive estimation and inference which are examined in the article.
-
Prewhitening Bias in HAC Estimation
Oxford Bulletin of Economics and Statistics, 2005Co-Authors: Peter C.b. Phillips, Chi Young ChoiAbstract:HAC estimation commonly involves the use of prewhitening filters based on simple Autoregressive models. In such applications, small sample bias in the estimation of Autoregressive Coefficients is transmitted to the recoloring filter, leading to HAC variance estimates that can be badly biased. The present paper provides an analysis of these issues using asymptotic expansions and simulations. The approach we recommend involves the use of recursive demeaning procedures that mitigate the effects of small sample Autoregressive bias. Moreover, a commonly-used restriction rule on the prewhitening estimates (that first order Autoregressive Coefficient estimates, or largest eigenvalues, greater than 0.97 be replaced by 0.97) adversely interferes with the power of unit root and KPSS tests. We provide a new boundary condition rule that improves the size and power properties of these tests. Some illustrations are given of the effects of these adjustments on the size and power of KPSS testing. Using prewhitened HAC estimates and the new boundary condition rule, the KPSS test is consistent, in contrast to KPSS testing that uses conventional prewhitened HAC estimates (Lee, 1996).
Rolf Larsson - One of the best experts on this subject based on the ideXlab platform.
-
Testing for a unit root in a random Coefficient panel data model
Journal of Econometrics, 2012Co-Authors: Joakim Westerlund, Rolf LarssonAbstract:This paper proposes new unit root tests in the context of a random Autoregressive Coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the Autoregressive Coefficient has unit mean and zero variance. The asymptotic distributions of the test statistics are derived and simulation results are provided to suggest that they perform very well in small samples.
