Most of economic and financial time series have a nonstationary behavior. There are different types of nonstationary processes, such as those with stochastic trend and those with deterministic trend. In practice, it can be quite difficult to distinguish between the two processes. In this paper,...

This paper studies the properties of the von Neumann ratio for time series with infinite variance. The asymptotic theory is developed using recent results on the weak convergence of partial sums of time series with infinite variance to stable processes and of sample serial correlations to...

This paper provides detailed responses to the following 8 discussants of my paper "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends": Gary Koop and Mark Steel; Edward Leamer; In-Moo Kim and G.S. Maddala Dale J. Poirier; Peter C. Schotman and Herman K. van Dijk; James...

Chan and Tran give the limit theory for the least squares coefficient in a random walk with the iid errors that are in the domain of attraction of a stable law. This note discusses their results and provides generalizations to the case of I(q) processes with weakly dependent errors whose...

This paper analyses the determinants of transport costs for intra-Latin American trade over a period of six years (1999-2004). The data refer to yearly disaggregated (SITC 5 digit level) maritime trade flows on 277 trade routes. With this data set, a transport costs equation is estimated using...

This paper estimates the effect of trade liberalisation on import performance of selected Latin American countries. The novelty of this study is that it applies a long-term approach covering the whole XX century using times series and panel data analyses. The empirical exercise shows that the...

Economists and others need estimates of future cash price volatility to use in risk management evaluation and education programs. This paper evaluates the performance of alternative volatility forecasts for fed cattle, feeder cattle, and corn cash price returns. Forecasts include time series...

In this paper we compare two non-stationary time series using non-parametric procedures. Evolutionary spectra are estimated for the two series. Randomization tests are performed on groups of spectral estimates for both related and independent time series. Simul ation studies show that in certain...

Deterministic population forecasts do not give an appropriate indication of forecast uncertainty. Forecasts should be probabilistic, rather than deterministic, so that their expected accuracy can be assessed. We review three main methods to compute probabilistic forecasts, namely time series...

Simulated models suffer intrinsically from validation and comparison problems. The choice of a suitable indicator quantifying the distance between the model and the data is pivotal to model selection. However, how to validate and discriminate between alternative models is still an open problem...