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Title:Measuring conditional persistence in time series PDF Logo
Authors:Kapetanios, George
Issue Date:2002
Series/Report no.:Working Paper, Department of Economics, Queen Mary, University of London 474
Abstract:The persistence properties of economic time series has been a primary object of investigation in a variety of guises since the early days of econometrics. This paper suggests investigating the persistence of processes conditioning on their history. In particular we suggest that examining the derivatives of the conditional expectation of a variable with respect to its lags maybe a useful indicator of the variation in persistence with respect to its past history. We discuss in detail the implementation of the measure. We present a Monte Carlo investigation of the suggested measure. We further apply the persistence analysis to real exchange rates.
Subjects:Persistence, Nonparametric regression, Nonlinear models, Real exchange rates
JEL:C22
C14
F31
Document Type:Working Paper
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

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