The aim of this paper is to analyze whether endogenous growth RBC models are consistent with two stylized facts about U.S. output dynamics. First, GNP growth is positively correlated in the short run and it has a weak negative autocorrelation over longer horizons. Second, GNP appears to have an...

This paper studies whether nonseparabilities between consumption and leisure may help to explain the observed persistence in GNP growth. We consider an extended version of Lucas' (1988) human capital investment model that includes labor adjustment costs and compare its performance under...

The Environmental Kuznets Curve (EKC) is a hypothesis which implies that it is possible to "grow out of environmental degradation." Most theoretical models of the EKC relation have not accounted for transboundary and intergenerational externalities, nor have empirical studies provided evidence...

In this paper we propose a new method to estimate nonparametrically a time varying parameter model when some qualitative information from outside data (e.g. seasonality) is available. In this framework we make two main contributions. First, the resulting estimator is shown to belong to the class...

Time series in many areas of application, and notably in the social sciences, are frequently incomplete. This is particularly annoying when we need to have complete data, for instance to compute indexes as a weighted average of values from a number of time series; whenever a single datum is...

Basándose en la literatura existente, en este trabajo se propone una metodología para el estudio gráfico y analítico del componente estacional en una serie temporal. El objetivo del análisis es determinar si el componente estacional responde a un comportamiento determinista o estocástico....

The estimation of the memory parameter in perturbed long memory series has recently attracted attention motivated especially by the strong persistence of the volatility in many financial and economic time series and the use of Long Memory in Stochastic Volatility (LMSV) processes to model such a...

The choice of the bandwidth in the local log-periodogram regression is of crucial importance for estimation of the memory parameter of a long memory time series. Different choices may give rise to completely different estimates, which may lead to contradictory conclusions, for example about the...

Strong persistence is a common phenomenon that has been documented not only in the levels but also in the volatility of many time series. The class of doubly fractional models is extended to include the possibility of long memory in cyclical (non-zero) frequencies in both the levels and the...

The seasonal stability tests of Canova & Hansen (1995) (CH) provide a method complementary to that of Hylleberg et al. (1990) for testing for seasonal unit roots. But the distribution of the CH tests are unknown in small samples. We present a method to numerically compute critical values and...