When dealing with the presence of outliers in a dataset, the problem of choosing between the classical ordinary least squares and robust regression methods is sometimes addressed inadequately. In this article, we propose using a Hausman-type test to determine whether a robust S- estimator is...

The aim of this paper is to provide evidence on the nature of the relationship between the terms of trade and the trade balance for US on a scale-by-scale basis using wavelet analysis. Thus, after decomposing the two variables into their time-scale components using to the maximum overlap...

In this paper, we focus on and examine the empirical evidence of non- linearity in aggregate Canadian unemployment. Contrary to the conclusion reached in Murray et al. (1993), and using a corrected for bias simple non-parametric test (SNT), we reject the null hypothesis of a linear structure for...

The financial time series are often characterized by similar volatility structures. The selection of series having a similar behavior could be important for the analysis of the transmission mechanisms of volatility and to forecast the time series, using the series with more similar structure. In...

We argue that the current framework for predictive ability testing (e.g., West, 1996) is not necessarily useful for real-time forecast selection, i.e., for assessing which of two competing forecasting methods will perform better in the future. We propose an alternative framework for...

In this paper we develop tests of functional form that are consistent against a class of nonlinear "smooth transition" models of the conditional mean. Our method is an extension of the consistent model specification tests developed by Bierens (1990), de Jong (1996) and Bierens and Ploberger...

We make three contributions to using the variance ratio statistic at large horizons. Allowing for general heteroscedasticity in the data, we obtain the asymptotic distribution of the statistic when the horizon k is increasing with the sample size n but at a slower rate so that k/n¨0. The test...

This paper investigates the finite sample distribution of the least squares estimator of the autoregressive parameter in a first-order autoregressive model. Uniform asymptotic expansion for the distribution applicable to both stationary and nonstationary cases is obtained. Accuracy of...

This papers finds evidence of fractional integration for a number of monthly ex post real interest rate series using the GPH semiparametric estimator on data from fourteen European countries and the US. However, we pose empirical questions on certain time series requirements that emerge from...

We develop an ordinary least squares estimator of the long memory parameter from a fractionally integrated process that is an alternative to the Geweke Porter-Hudak estimator. Using the wavelet transform from a fractionally integrated process, we establish a log-linear relationship between the...