Zobrazeno 1 - 8 of 8 pro vyhledávání: '"Michalis P. Stamatogiannis"'
3
Testing for news and noise in non-stationary time series subject to multiple historical revisions
Autor: Jan Jacobs, Michalis P. Stamatogiannis, Alain Hecq
Publikováno v: Journal of Macroeconomics, 60, 396-407. ELSEVIER SCIENCE BV
Journal of Macroeconomics
Journal of Macroeconomics, 60, 396-407. Elsevier Science
This paper focuses on testing non-stationary real-time data for forecastability, i.e., whether data revisions reduce noise or are news, by putting data releases in vector-error correction forms. To deal with historical revisions which affect the whol
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c9af4390660e8d412b761be78d577390
https://doi.org/10.1016/j.jmacro.2019.03.003
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4
Forecasting the exchange rate using non-linear Taylor rule based models
Autor: Bruce Morley, Rudan Wang, Michalis P. Stamatogiannis
Publikováno v: International Journal of Forecasting
Wang, R, Morley, B & Stamatogiannis, M 2019, ' Forecasting the Exchange Rate using Non-linear Taylor Rule Based Models ', International Journal of Forecasting, vol. 35, no. 2, pp. 429-442 . https://doi.org/10.1016/j.ijforecast.2018.07.017
This research utilises a non-linear Smooth Transition Regression (STR) approach to modelling and forecasting the exchange rate, based on the Taylor rule model of exchange rate determination. The separate literatureson exchange rate models and the Tay
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cc4d88a8829fcda6bca9dbabb4937ec5
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5
Taking Stock of Long-Horizon Predictability Tests: Are Factor Returns Predictable?
Autor: Michalis P. Stamatogiannis, Alexandros Kostakis, Tassos Magdalinos
Publikováno v: SSRN Electronic Journal.
This study provides a critical assessment of long-horizon return predictability tests using highly persistent regressors. We show that the most commonly used test statistics are typically oversized, leading to spurious inference. As a remedy, we prop
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::60092b14a5c78e853a903e35fce3b71e
https://doi.org/10.2139/ssrn.3284149
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6
Agricultural commodity price shocks and their effect on growth in sub-Saharan Africa
Autor: Tony Addison, Michalis P. Stamatogiannis, Atanu Ghoshray
Publikováno v: Addison, T, Ghoshray, A & Stamatogiannis, M P 2016, ' Agricultural commodity price shocks and their effect on growth in sub-Saharan Africa ', Journal of Agricultural Economics, vol. 67, no. 1, pp. 47-61 . https://doi.org/10.1111/1477-9552.12129
Journal of Agricultural Economics
Commodity price shocks are an important type of external shock and are often cited as a problem for economic growth in Sub-Saharan Africa. We choose nine Sub-Saharan African countries that are heavily dependent on a single agricultural commodity for
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::08e5a13f4e0c0da7c47ba02295173121
https://purehost.bath.ac.uk/ws/files/132331108/Addison_et_al_2015_Journal_of_Agricultural_Economics.pdf
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7
Centurial Evidence of Breaks in the Persistence of Unemployment
Autor: Michalis P. Stamatogiannis, Atanu Ghoshray
Publikováno v: Ghoshray, A & Stamatogiannis, M P 2015, ' Centurial evidence of breaks in the persistence of unemployment ', Economics Letters, pp. 74-76 . https://doi.org/10.1016/j.econlet.2015.02.012
A novel procedure is applied to test for switches between hysteresis and the natural rate theory over more than a century of UK and USA unemployment data. For both the countries we see a period conforming to hysteresis starting in the early 1920s for
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2b19cfdef02a4f2463cd21b09a6fe9b5
https://doi.org/10.2139/ssrn.2863852
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8
The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators
Autor: Michalis P. Stamatogiannis, Steve Lawford
Publikováno v: Econometrics
Econometrics, MDPI, 2009, 148 (2), pp 124-130. ⟨10.1016/j.jeconom.2008.10.004⟩
Journal of Econometrics
International audience; Vector autoregressions (VARs) are important tools in time series analysis. However, relatively little is known about the finite-sample behaviour of parameter estimators. We address this issue, by investigating ordinary least s
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d95fe766510a0c1da788a2a2471e916a
https://hal.archives-ouvertes.fr/hal-00563603
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