This paper investigates the performance of international affine term structure models (ATSMs) that are driven by a mutual set of global state variables. We discuss which mixture of Gaussian and square root processes is best suited for modelling international bond markets. We derive necessary...

Inferences about the presence or absence of threshold type nonlinearities in TAR models are conducted within models whose lag length has been estimated in a preliminary stage. Typically the null hypothesis of linearity is then tested against a threshold alternative on which the estimated lag...

We establish a maximal moment inequality for the weighted sum of a long- range dependent process. An extension to H$\acute{a}$jek-R$\acute{e}$ny and Chow's type inequality is then obtained. It enables us to deduce a strong law for the weighted sum of a stationary long-range dependent time...

The goal of this paper is to provide a fair empirical comparison of two alternative explanations of the relationship between aggregate price and output. We compare the empirical performance of the sticky price and the Mankiw and Reis (2002) sticky information models. We put both models in a...

In Poetscher [Econometric Theory (1991), 7, pp 163 - 185] the asymptotic distribution of a post-model-selection estimator, both unconditional and conditional on selecting a correct model, has been derived. Limitations of these results are (i) that they do not provide information on the...

This paper provides a Bayesian analysis of Autoregressive Fractionally Integrated Moving Average (ARFIMA) models. We discuss in detail inference on impulse responses, and show how Bayesian methods can be used to (i) test ARFIMA models against ARIMA alternatives, and (ii) take model uncertainty...

This zip archive contains implementations of the trend-cycle-season filter in Eviews, Excel, and MatLab. The trend-cycle-season filter is another univariate method to decompose a time series into a trend, a cyclical and a seasonal component: the Trend-Cycle filter (TC filter) and its extension,...

The aims of this paper are estimate and forecast the Non-Accelerating Inflation Rate of Unemployment, or NAIRU, for Brazilian unemployment time series data. In doing so, we introduce a methodology for estimating mixed additive seasonal autoregressive (MASAR) models, by the Generalized Method of...

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...

This paper investigates the usefulness of Italian consumer surveys as estimation and forecasting tool over the period 1982-2003. To this end, standard consumption equations are estimated and then compared, in terms of in-sample and out-of-sample predictive ability, with corresponding models...