In many real phenomena the behaviour of a certain variable, subjected to different regimes, depends on the state of other variables or the same variable observed in other subjects, so the knowledge of the state of the latter could be important to forecast the state of the former. In this paper a...

A widely used filter to extract a signal in a time series, in particular in the business cycle analysis, is the Hodrick-Prescott filter. The model that underlies the filter considers the data series as the sum of two unobserved component (signal and non signal) and a smoothing parameter which...

The extraction of a common signal from a group of time series is generally obtained using variables recorded with the same frequency or transformed to have the same frequency (monthly, quarterly, etc.). The statistical literature has not paid a great deal of attention to this topic. In this...

The problem of dating the business cycle has recently received many contributions, with a lot of proposed statistical methodologies, parametric and non parametric. Despite of this, only a few countries produce an official dating of the business cycle. In this work we try to apply some procedures...

In this paper we analyze the asymptotic properties of the popular distribution tail index estimator by B. Hill (1975) for possibly heavy- tailed, heterogenous, dependent processes. We prove the Hill estimator is weakly consistent for processes with extremes that form mixingale sequences, and...

In this paper, we develop a parametric test procedure for multiple horizon "Granger" causality and apply the procedure to the well established problem of determining causal patterns in aggregate monthly U.S. money and output. As opposed to most papers in the parametric causality literature, we...

The universal method for testing linearity against smooth transition autoregressive (STAR) alternatives is the linearization of the STAR model around the null nuisance parameter value, and performing F-tests on polynomial regressions in the spirit of the RESET test. Polynomial regressors,...