We propose a Bayesian procedure for multiple outlier detection in linear models avoiding the masking problem. Our proposal is illustrated with several examples in which our procedure outperforms other recent methods for multiple outlier detection. The posterior probabilities of each data point...

Commodity currency literature recently stressed the importance of commodity prices as a determinant of real exchange rates in developing countries (Cashin, Cespedes and Sahay 2004). We provide new empirical evidence on this issue by focusing on countries which are specialized in the ex-port of...

Value-added analysis is a common tool in analysing school performances. In this paper, we analyse the SIMCE panel data which provides individual scores of about 200,000 students in Chile, and whose aim is to rank schools according to their educational achievement. Based on the data collection...

The objective of this paper is to identify the determinants of office capitalization rates for a panel of 52 countries (developed and emerging countries) between 2000 and 2006. Our assumption, based on a Capital Asset Pricing Model, is that the capitalization rate should be at least proportional...

The inception of the Emission Trading System in Europe (EU-ETS) has made power price more expensive. This affects the competitiveness of electricity intensive industrial consumers and may force them to leave Europe. Taking up of a proposal of the industrial sector, we explore the possible...

This study is devoted to studying households' decisions about moving and about whether to rent or own after moving. It employs dynamic discrete choice models which condition households' decisions on their circumstances at every point in time during the length of the observation while accounting...

Novel model specifications that include a time-varying long run component in the dynamics of realized covariance matrices are proposed. The adopted modeling framework allows the secular component to enter the model structure either in an additive fashion or as a multiplicative factor, and to be...

New dynamic models for realized covariance matrices are proposed. The expected value of the realized covariance matrix is specified in two steps: one for each realized variance, and one for the realized correlation matrix. The realized correlation model is a scalar dynamic conditional...

The EGARCH is a popular model for discrete time volatility since it allows for asymmetric effects and naturally ensures positivity even when including exogenous variables. Estimation and inference is usually done via maximum likelihood. Although some progress has been made recently, a complete...

This paper presents a method capable of estimating richly parametrized versions of the dynamic conditional correlation (DCC) model that go beyond the standard scalar case. The algorithm is based on the maximization of a Gaussian quasi-likelihood using a Bregman-proximal trust-region method to...