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Autor:innen: 
Erscheinungsjahr: 
2004
Schriftenreihe/Nr.: 
SSE/EFI Working Paper Series in Economics and Finance No. 572
Verlag: 
Stockholm School of Economics, The Economic Research Institute (EFI), Stockholm
Zusammenfassung: 
In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a limiting case it converges to Threshold Integrated Moving Average [TIMA] models by Gonzalo and Martinez (2003). A test of SPS against STOPBREAK process is presented. Additionally, we introduce a new test for testing SPS process against the random walk. The small sample properties of these tests are investigated by Monte Carlo experiments. An application to the stock markets is presented.
Schlagwörter: 
Linearity test
Monte Carlo testing
Smooth transitions
Moving Averages Models
Permanent Shock
Transitory Shocks
JEL: 
C12
C15
C22
C51
C52
Dokumentart: 
Working Paper

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