Consider a stationary, pth order autoregression fX n g satisfying whose innovation sequence fZ n g is iid with regularly varying tail probabilities of index ?. From p of the autore-gressive coeecients and then to estimate the residuals by and then to apply Hill's estimator to the estimated residuals. We show that from the point of asymptotic variance, the second procedure is superior.

In this paper we provide conditions for nonlinear time series to be geometrically explosive with positive probability. The paper complements earlier work by the authors on geometrically ergodic nonlinear time series, showing that the conditions for examples in the earlier paper are sharp. We also study the transience of polynomial autoregression models.

This paper provides some new empirical perspectives on the relationship between international trade and macroeconomic fluctuations in industrial economies. First, a comprehensive set of stylized facts concerning fluctuations in trade variables and their determinants is presented. A measure of the quantitative importance of international trade for the propagation of domestic business cycles is t...

This paper employs a structural vector autoregression (SVAR) model to investigate the monetary policy framework of a small emerging open economy Malaysia, especially how the economy dynamically respond to money, interest rate, exchange rate and foreign shocks. We establish identification conditions to uncover the dynamic effects of monetary policy shocks on various domestic variables. Following...

This paper investigates the research question of whether principle parsimony carries over into interval forecasting, and proposes new semiparametric prediction intervals that apply block bootstrap to first-order autoregression. The AR(1) model is parsimonious in which error term may be serially correlated. Then, utilized resample blocks consecutive observations account for serial correlation. M...

Direct measures of expectations, derived from survey data, are used in a Vector Autoregressive (VAR) model of actual and expected output series in eight industrial sectors comprising UK Manufacturing. Through the application of the Beveridge-Nelson decomposition, the VAR model is used to measure trend output in the Manufacturing Sector. This measure is compared with alternative trend measures o...

This work explores the relationship between the sentiment of lyrics in Billboard Top 100 songs, stocks, and a consumer confidence index. We hypothesized that sentiment of Top 100 songs could be representative of public mood and correlate to stock market changes as well. We analyzed the sentiment for polarity and mood in terms of seven dimensions. We gathered data from 2008 to 2013 and found sta...

What is the effect of government deficits on interest rates? This fundamental question has not been convincingly answered. We propose a no-arbitrage structural VAR method that allows us to incorporate the cross-sectional information in bond yields into a structural macroeconomic framework. We find that the government deficit is an important factor behind the yield curve: A one percentage point ...

I quantify the importance of financial structure, labor market rigidities and industry mix for cross-country asymmetries in monetary transmission. To do so, I determine how closely the impulse responses to a monetary policy shock obtained from country-specific vectorautoregressive (VAR) models and a non-standard panel VAR model match. In the country-specific VAR models, the impulse responses va...