If I understand your question correctly then a place to look would be Rob Engle's recent work on Dynamic Conditional Correlation.richg.

<t>My 2 cents.I disagree with some of the above in that I see no problem in giving the Nobel to econometricians. We had Heckman and Macfadden in 2000 as a precedent. More fundamentally, Granger's contributed a huge amount to the current conduct of applied time-series which itself contributes a huge ...

<t>A possible example is that maybe your regression model is mis-specified. Assume that in your regression specification (the y_t =B*x_t + v_t bit of the model) you've omitted to include a real explanatory variable on the RHS, let's call it z_t, which deserves to be there. Moreover, let's assume tha...

<t>Take a regression equation: y_t = B*x_t + v_t and then introduce dependence into the v_t. If you specify v_t = rho*v_t-1 + e_t then you've got AR(1) errors and if you specify v_t = e_t + theta*e_t-1 then you've got MA(1) errors (where e_t is white noise). Diagnose the existence of these kinds of ...

<t>I guess that the key place to look for differences in the properties of MA and AR processes is in the autocorrelation function of the process in question. Taking first order ARs and MAs for simplicity, the former will give you an autocorrelation function that is exponentially decaying - the corre...

<t>The Pumas are an interesting proposition. If the Aussies aren't at the top of their game right from the tournament start they could find themselves with a record of played 1 lost 1 and maybe then end up coming second in their group. That should really irritate the French as they'd then be extreme...

If you don't need the Matlab desktop and don't use the Matlab Java-related stuff, you could trying running Matlab without the Java Virtual Machine (i.e. using the -nojvm option when running Matlab) - this will help you out with memory.richg.

<t>I have to admit to not having seen a great deal of the Tri-Nations so am not perfectly informed regarding recent Wallaby performances. Your assessment of the pre-league-players Aussie back line is pretty similar to mine, although I've never been convinced of Mortlock's talent and never liked Burk...

A quote that came to me while watching the final of Fame Academy (a UK find-a-popstar show much like Pop Idol or American Idol) with my 4 year old daughter on Saturday night."Now let's kill that f@$king band" as spoken by Sex Machine in "From Dusk till Dawn".richg.

<t>I'd say that it's a bit hard on the Aussies to argue that they're over the hill - England's pack, for example, contain some relatively old guys in Johnson, Leonard, Dallaglio, Back and so on (in Leonard's case substitute "exceptionally" for "relatively"). While they might be getting on, Larkham, ...

For inference on the stability of moving-window or expanding-window regressions look at the work of Werner Ploberger and various co-authors. They've developed a bunch of tests, some kind of like CUSUM tests, to do exactly this kind of thing.richg.

The confidence intervals you're talking about are asymptotic approximations if my memory is correct. The actual derivations of the intervals can be found in Box and Jenkins' "Time series analysis" text or in Fuller's "Introduction to statistical time-series" text.richg.

<t>On a time-series level, people compute return rather than price correlations because returns are much more likely to be stataionary and simple correlation loses meaning when applied to non-stationary data. As Aaron says, if you really want to model the interdependence between non-stationary data,...

<t>Building on Aaron's points above, I believe that one way to think about the relationships between uncorelatedness and independence is as follows. Uncorrelatedness obviously requires that the correlation between the levels of X and Y is zero. Independence requires that the correlation between all ...

QuoteSimon Herbert won it for saying that people don't behave rationallyI take it you mean Herb Simon rather than Simon Herbert - then again maybe Simon Herbert won for empirically documenting inabilities to type rationally.