The paper contains some implications for applied econometric research. Two important ones are, first, that invertible models, such as AR or VAR models, cannot in general be used to model seasonally adjusted or detrended data. The second one is that to look at the business cycle in detrended...

We investigate identifiability issues in DSGE models and their consequences for parameter estimation and model evaluation when the objective function measures the distance between estimated and model impulse responses. Observational equivalence, partial and weak identification problems are...

The paper deals with estimation of missing observations in possibly nonstationary ARIMA models. First, the model is assumed known, and the structure of the interpolation filter is analysed. Using the inverse or dual autocorrelation function it is seen how estimation of a missing observation is...

This working paper details unit root tests for monthly series, with the possibility of the stationary part having been generated by an ARMA process. The paper is complemented by an application to the four basic stochastic components of the consumer price index. Test evidences that the long-run...

Using interpolation of the Spanish domestic private consumption deflactor, we review some of the signals extraction techniques, as well as interpolation of time series, i.e. deriving quarterly data from annual data. For the decomposition of a series in its observable components (trend plus...

In this paper we address the issue of the efficient estimation of the cointegrating vector in linear regression models with variables that follow general (higher order and fractionally) integrated processes.

The paper deals with the problem of identifying stochastic unobserved two-component models, as in seasonal adjustment or trend-cycle decompositions. Solutions based on the properties of the unobserved component estimation error are considered, and analytical expressions for the variances and...

This paper studies the loss of human capital that emigration generates in the country of origin. To that end I estimate the human capital distribution of emigrants had they not migrated. Unlike previous studies, I take into account the selection of migrants in terms of unobserved characteristics...

Brief summaries and user instruction are presented for the programs TRAMO ("Time Series regression with ARIMA Noise, Missing Observations and Outlers") and SEATS ("Signal Extraction in ARIMA Time Series").