Copyright (c) 2009 Berkeley Electronic Press All rights reserved. http://www.bepress.com/jtse Recent documents in Journal of Time Series Econometrics en-us Fri, 21 Aug 2009 15:15:25 PDT 3600 http://www.bepress.com/jtse/vol1/iss1/art4 http://www.bepress.com/jtse/vol1/iss1/art4 Thu, 02 Apr 2009 03:31:08 PDT Practitioners often have at their disposal a large number of instruments that are weakly exogenous for the parameter of interest. However, not every instrument has the same predictive power for the endogenous variable, and using too many instruments can induce bias. We consider two ways of handling these problems. The first is to form principal components from the observed instruments, and the second is to reduce the number of instruments by subset variable selection. For the latter, we consider boosting, a method that does not require an a priori ordering of the instruments. We also suggest a way to pre-order the instruments and then screen the instruments using the goodness of fit of the first stage regression and information criteria. We find that the principal components are often better instruments than the observed data except when the number of relevant instruments is small. While no single method dominates, a hard-thresholding method based on the t test generally yields estimates with small biases and small root-mean-squared errors. Serena Ng C10 C20 C30 http://www.bepress.com/jtse/vol1/iss1/art3 http://www.bepress.com/jtse/vol1/iss1/art3 Thu, 02 Apr 2009 03:28:55 PDT This article provides a methodological and empirical approach for assessing price level convergence and its relation to purchasing power parity (PPP) using annual price data for seventeen U.S. cities during the period 1918 to 2005. We suggest a new panel data procedure that can handle a wide range of PPP concepts in the presence of multiple structural breaks using all possible pairs of real exchange rates. Testing for PPP requires the definition of parametric restrictions (parity restrictions) across regimes. In general, we find more evidence for stationarity when the parity restriction is not imposed, while imposing parity restriction leads toward the rejection of the panel stationarity. Our results can be embedded in the view of the Balassa-Samuelson approach, but where the slope of the time trend is allowed to change in the long-run. Syed A. Basher C32 C33 E31 F41 http://www.bepress.com/jtse/vol1/iss1/art2 http://www.bepress.com/jtse/vol1/iss1/art2 Thu, 02 Apr 2009 03:28:53 PDT Asymptotic properties of the quasi-maximum likelihood estimator (QMLE) for non-linear ARCH(q) models -- including for example Asymmetric Power ARCH and log-ARCH -- are derived. Strong consistency is established under the assumptions that the ARCH process is geometrically ergodic, the conditional variance function has a finite log-moment, and finite second moment of the rescaled error. Asymptotic normality of the estimator is established under the additional assumption that certain ratios involving the conditional variance function are suitably bounded, and that the rescaled errors have little more than fourth moment. We verify our general conditions, including identification, for a wide range of leading specific ARCH models. Dennis Kristensen C13 C22 http://www.bepress.com/jtse/vol1/iss1/art1 http://www.bepress.com/jtse/vol1/iss1/art1 Thu, 02 Apr 2009 03:24:31 PDT This paper expounds some of the results of Fourier theory that are essential to the statistical analysis of time series. It employs the algebra of circulant matrices to expose the structure of the discrete Fourier transform and to elucidate the filtering operations that may be applied to finite data sequences.An ideal filter with a gain of unity throughout the pass band and a gain of zero throughout the stop band is commonly regarded as incapable of being realised in finite samples. It is shown here that, to the contrary, such a filter can be realised both in the time domain and in the frequency domain.The algebra of circulant matrices is also helpful in revealing the nature of statistical processes that are band limited in the frequency domain. In order to apply the conventional techniques of autoregressive moving-average modelling, the data generated by such processes must be subjected to anti-aliasing filtering and sub sampling. These techniques are also described.It is argued that band-limited processes are more prevalent in statistical and econometric time series than is commonly recognised. Stephen D.S.G. Pollock C 22