Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?

This paper investigates the properties of Dickey-Fuller tests for seasonally unadjusted quarterly data when deterministic seasonality is present but it is neglected in the test regression. While for the random walk case the answer is straightforward, an extensive Monte Carlo study has to be performed for more realistic processes and testing strategies. The most important conclusion is that the common perception that deterministic seasonality has nothing to do with the long-run properties of the data is incorrect. Further numerical evidence on the shortcomings of the general-to-specific t-sig lag selection method is also presented.unit root; Dickey-Fuller tests; similar tests; seasonality; Monte Carlo

The Order of Integration for Quarterly Macroeconomic Time series: a Simple Testing Strategy

Besides introducing a simple and intuitive definition for the order of integration of quarterly time series, this paper also presents a simple testing strategy to determine that order for the case of macroeconomic data. A simulation study shows that much more attention should be devoted to the practical issue of selecting the maximum admissible order of integration. In fact, it is shown that when that order is too high, one may get (spurious) evidence for an excessive number of unit roots, resulting in an overdifferenced series.

Time varying fiscal policy in the U.S.

To investigate the time heterogeneity effects of fiscal policy in the U.S., we use a non-recursive, Blanchard and Perotti-like structural VAR with time-varying parameters, estimated through Bayesian simulation over the 1965:2-2009:2 period. Our evidence suggests that fiscal policy has lost some capacity to stimulate output but that this trend is more pronounced for taxes net of transfers than for government expenditure, whose effectiveness declines only slightly. Fiscal multipliers keep conventional signs throughout. An investigation of changes in fiscal policy conduct indicates an increase in the countercyclical activism of net taxes over time, which appears to have reached a maximum during the 2008-09 recession.Fiscal policy, Bayesian estimation, Structural change, Macroeconomic stabilization

The expectations hypothesis of the term structure: some empirical evidence for Portugal

The purpose of this paper is to test the (rational) expectations hypothesis of the term structure of interest rates using Portuguese data for the interbank money market. The results obtained support only a very weak, long-run or "asymptotic" version of the hypothesis, and broadly agree with previous evidence for other countries. The empirical evidence supports the cointegration of Portuguese rates and the "puzzle" well known in the literature: although its forecasts of future short-term rates are in the correct direction, the spread between longer and shorter rates fails to forecast future longer rates. In the single equation framework, the implications of the hypothesis in terms of the predictive ability of the spread are also clearly rejected

The Expectations Hypothesis of the Term Structure: Some Empirical Evidence for Portugal

The purpose of this paper is to test the (rational) expectations hypothesis of the term structure of interest rates using Portuguese data for the interbank money market. The results obtained support only a very weak, long-run or "asymptotic" version of the hypothesis, and broadly agree with previous evidence for other countries. The empirical evidence supports the cointegration of Portuguese rates and the "puzzle" well known in the literature: although its forecasts of future short-term rates are in the correct direction, the spread between longer and shorter rates fails to forecast future longer rates. In the single equation framework, the implications of the hypothesis in terms of the predictive ability of the spread are also clearly rejected, even for the more stable period which emerged in the middle nineties.term structure of interest rates; expectations hypothesis; hypothesis testing; cointegration; Portugal

The expectations hypothesis of the term structure: some empirical evidence for Portugal

The purpose of this paper is to test the (rational) expectations hypothesis of the term structure of interest rates using Portuguese data for the interbank money market. The results obtained support only a very weak, long-run or "asymptotic" version of the hypothesis, and broadly agree with previous evidence for other countries. The empirical evidence supports the cointegration of Portuguese rates and the "puzzle" well known in the literature: although its forecasts of future short-term rates are in the correct direction, the spread between longer and shorter rates fails to forecast future longer rates. In the single equation framework, the implications of the hypothesis in terms of the predictive ability of the spread are also clearly rejected.term structure of interest rates; expectations hypothesis; hypothesis testing; cointegration; Portugal

Chapter 2 - Misspecification Analysis I : Coefficients’ (In)Stability

info:eu-repo/semantics/publishedVersio

Chapter 2 - Misspecification Analysis II : Serial Correlation

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Chapter 3 - Single Equation Dynamic Linear Models : an Introduction

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The Behavior of HEGY Tests for Quarterly Time Series with Seasonal Mean Shifts

This paper studies the behavior of the HEGY statistics for quarterly data, for seasonal autoregressive unit roots, when the analyzed time series is deterministic seasonal stationary but exhibits a change in the seasonal pattern. As a by-product we analyze also the HEGY test for the nonseasonal unit root, the data generation process being trend stationary too. Our results show that when the break magnitudes are finite the HEGY test statistics are not asymptotically biased towards the non-rejection of the seasonal and nonseasonal unit root hypotheses. However, the finite sample power properties may be substancially affected, the behavior of the tests depending on the type of the break. Hence, our results are also useful to understand and to predict this behavior under several circumstances.seasonality; unit roots; strctural breaks; HEGY tests