Measuring Conditional Persistence in Nonlinear Time Series

• Autores: George Kapetanios
• Localización: Oxford bulletin of economics and statistics, ISSN 0305-9049, Vol. 69, Nº. 3, 2007, págs. 363-386
• Idioma: inglés
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• Resumen

  • The persistence properties of economic time series have been a primary object of investigation in a variety of guises since the early days of econometrics. Recently, work on nonlinear modelling for time series has introduced the idea that persistence of a shock at a point in time may vary depending on the state of the process at that point in time. This article suggests investigating the persistence of processes conditioning on their history as a tool that may aid parametric nonlinear modelling. In particular, we suggest that examining the nonparametrically estimated derivatives of the conditional expectation of a variable with respect to its lag(s) may be a useful indicator of the variation in persistence with respect to its past history. We discuss in detail the implementation of the measure and present a Monte Carlo investigation. We further apply the persistence analysis to real exchange rates.