A new predictor-corrector interior point algorithm for solving monotone linear complementarity problems (LCP) is proposed, and it is shown to be superlinearly convergent with at least order 1.5, even if the LCP has no strictly complementary solution. Unlike Mizuno's recent algorithm, the fast...

In this paper we analyze the sensitivity of unit root inference to nonlinear transformations through Bayesian techniques. We make joint inference about the Box-Cox transformation, which includes the cases yt and log(yt), and the unit root. When we apply our method to the fourteen Nelson-Plosser...

In this paper we measure the extent to which countries are converging in per capita productivity levels. We formally define convergence in a time series analytical context, derive the necessary and sufficient conditions and introduce a cluster analytical procedure that enables us to distinguish...

A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long-lasting effect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for inflation,...

Many current seasonally adjusted level data are based on Census-X-11-type moving average filters applied to past and forecasted log-transformed observations, which is usually called the Census-X-11 ARIMA method. The forecasts are often generated from seasonal ARIMA models for the log-transformed...