, we have also used some kind of detrending methods to adjust for the shifts in the turnover series. We have used six … different kind of detrending methods like linear, logarithmic, first differencing, moving average, seasonal deseasonalization … detrending them by each of the above stated procedures. Linear, log-linear, GRT detrending and kernel regression seem to do …

What brings persistence into the macroeconomy? This is one of the big unresolved issues in current macroeconomic theory …. Economic models, in fact, typically struggle to imply levels of persistence comparable to those observed in the data. Most of … the persistence is therefore introduced by highly autocorrelated exogenous stochastic shocks. Other solutions consist of …

volatility, high persistence and smoothness. With the quasi-ML approach proposed in our study, we showed that volatility is far …

This paper presents a rigurous framework for evaluating alternative forecasting methods for Chilean industrial … production and sales. While nonlinear features appear to be important for forecasting the very short term, simple univariate … linear models perform about as well for almost every forecasting horizon …

identification and estimation of VARMA models. This paper examines if VAR models are good enough for forecasting macroeconomic …-of-sample forecasting performance of these models against VAR models fitted to the same da …