Browsing Max Weber Programme (MWP) by Subject "C22"

DSpace/Manakin Repository

Browsing Max Weber Programme (MWP) by Subject "C22"

Sort by: Order: Results:

  • Icon
    Title: Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index  Author(s): LUETKEPOHL, Helmut; XU, Fang Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: This paper investigates whether using natural logarithms (logs) of price indices for forecasting inflation rates is preferable to employing the original series. Univariate forecasts for annual inflation rates for a number ...
  • Icon
    Title: The Role of log Transformation in Forecasting Economic Variables  Author(s): LUETKEPOHL, Helmut; XU, Fang Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this transformation is often considered to stabilize the variance of a series. We investigate under which ...
  • Icon
    Title: Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue  Author(s): HERACLEOUS, Maria S. Date: 2007 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: Econometric modeling based on the Student's t distribution introduces an additional parameter -- the degree of freedom. In this paper we use a simulation study to investigate the ability of (i) the GARCH-t model (Bollerslev, ...