scholarly journals A Plug-in Bandwidth Selection Procedure for Long-Run Covariance Estimation with Stationary Functional Time Series

2016 ◽  
Vol 38 (4) ◽  
pp. 591-609 ◽  
Author(s):  
Gregory Rice ◽  
Han Lin Shang
Keyword(s):  
Time Series ◽  
Bandwidth Selection ◽  
Selection Procedure ◽  
Covariance Estimation ◽  
Functional Time Series ◽  
Long Run

Bandwidth selection for functional time series prediction

2009 ◽  
Vol 79 (6) ◽  
pp. 733-740 ◽  
Author(s):  
Anestis Antoniadis ◽  
Efstathios Paparoditis ◽  
Theofanis Sapatinas
Keyword(s):  
Time Series ◽  
Time Series Prediction ◽  
Bandwidth Selection ◽  
Functional Time Series ◽  
Selection For

LEARNING DYNAMICS AND NONLINEAR MISSPECIFICATION IN AN ARTIFICIAL FINANCIAL MARKET

2009 ◽  
Vol 13 (5) ◽  
pp. 625-655 ◽  
Author(s):  
Christophre Georges ◽  
John C. Wallace
Keyword(s):  
Time Series ◽  
Financial Market ◽  
Consistency Condition ◽  
Nonlinear Structure ◽  
State Variable ◽  
Bounded Memory ◽  
Long Run ◽  
Finite Memory ◽  
Aggregate Dynamics ◽  
True Structure

In this paper, we explore the consequence of learning to forecast in a very simple environment. Agents have bounded memory and incorrectly believe that there is nonlinear structure underlying the aggregate time series dynamics. Under social learning with finite memory, agents may be unable to learn the true structure of the economy and rather may chase spurious trends, destabilizing the actual aggregate dynamics. We explore the degree to which agents' forecasts are drawn toward a minimal state variable learning equilibrium as well as a weaker long-run consistency condition.

Forecasting Long-Run Coal Price in China: A Shifting Trend Time-Series Approach

2010 ◽  
Vol 14 (3) ◽  
pp. 499-519 ◽  
Author(s):  
Baomin Dong ◽  
Xuefeng Li ◽  
Boqiang Lin
Keyword(s):  
Time Series ◽  
Coal Price ◽  
Long Run ◽  
Time Series Approach

The Impact of Terms of Trade on the Export Structure of Manufactured Products in Different Economic Developing Status

2021 ◽  
Vol 1 (1) ◽  
pp. 59-67
Author(s):  
Kai-Ting Huang ◽  
Keyword(s):  
Time Series ◽  
Terms Of Trade ◽  
Development Status ◽  
Structural Time Series ◽  
Export Structure ◽  
Primary Products ◽  
Long Run ◽  
Deterministic Trend ◽  
Manufactured Products ◽  
The Impact

The Prebisch-Singer Hypothesis states that in structural time series analysis, the terms of trade between primary products and manufacturers have a negative deterministic trend. Many researchers argued that the deterioration in trade is the type of country in which the products are exported, regardless of whether the types of products exported by such countries are primary or manufactured products. This paper employs a development-differentiated model to analyze the correlation between various terms of trade and the export proportion of manufactured products on different economies of development status. In the long run, stable co-integration relations exist between terms of trade and the export proportion of manufactured products for development status. Furthermore, the increased proportion of manufactured products exports is the Granger casualty for the worse terms of trade for several economies of development status. The results demonstrated that changing the terms of trade is significantly influenced by structured changes in the export proportion of manufactured products for the development status of economies.

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