Tuesday, April 23, 2019

Seasonal Unit Root Tests

Author and guest post by Nicolas Ronderos

In this blog entry we will offer a brief discussion on some aspects of seasonal non-stationarity and discuss two popular seasonal unit root tests. In particular, we will cover the Hylleberg, Engle, Granger, and Yoo (1990) and Canova and Hansen (1995) tests and demonstrate practically using EViews how the latter can be used to detect the presence of seasonal unit roots in a US macroeconomic time series. All files used in this exercise can be downloaded at the end of the entry.

Friday, February 1, 2019

Time varying parameter estimation with Flexible Least Squares and the tvpuni add-in

Author and guest post by Eren Ocakverdi

Professional life of a researcher who follows or responsible from an emerging market can become so miserable when things suddenly change and the past experience does not hold anymore. As a practitioner you can get used to it over time, but it’s a whole different story when it comes to identifying empirical relationships between market indicators as part of your job.

History can be a really good gauge to understand how such indicators are linked to one another only if you look through a proper glass. Abrupt changes, structural breaks or transition periods may alter such relationships so much that they would be misidentified with those traditional methods where the underlying structure is assumed fixed over the full sample.