Essays on Time Series Modeling

The first chapter of this dissertation introduces a few important concepts which are used throughout the rest of the dissertation. Chapter 2 revisits the inertial inflation hypothesis for Brazil. In this chapter we use time series techniques to model the long-run dynamics of the Brazilian inflationary process. Our results reveal that, although there is some inertia in the Brazilian inflation, the degree of inertia is rather small. Another important policy issue conjectured by Friedman in his Nobel Lecture is the relationship between inflation and uncertainty about the future level of inflation. The third chapter uses quantile regression techniques to test Friedman's hypothesis using the U.S. implicit price deflator for GNP as a measure for inflation. We find some evidence in favor to Friedman's claim that there exists a positive and significant relationship between the inflation level and inflation uncertainty (measured here as the conditional scale of inflation). However, it is shown that this relationship only holds for certain ranges (higher quantiles) of the conditional quantiles of our measure of scale. Finally, the fourth chapter evaluates the predictive accuracy of interval forecasting methods for ARCH-type models proposed in the literature under different misspecification scenarios: misspecification of the conditional distribution, misspecification of the conditional variance, and misspecification of both the conditional variance and the distribution. Our first main result is that, overall, the bootstrap method outperforms the alternatives, yielding prediction intervals whose empirical levels and nominal levels match well, even under a misspecified conditional variance. Our second important result in this chapter is that the GARCH(1,1) specification is reliable for building prediction intervals which approximate well the nominal confidence levels when the true data generating process comes from a different conditional heteroskedastic model.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Economics

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2015

Author dc:creator

• Campelo, Ana Katarina

Contributors dc:contributor

• Anil Bera

• Economics, Theory

Language dc:language

eng

Identifier

(MiAaPQ)AAI9989950

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/85672