The Beveridge-Nelson decomposition defines the trend component in terms of the eventual forecast function, as the value the series would take if it were on its long-run path. The paper in-troduces the multistep Beveridge-Nelson decomposition, which arises when the forecast function is obtained...

We apply a recently proposed Bayesian model selection technique, known as stochastic model specification search, for characterising the nature of the trend in macroeconomic time series. We illustrate that the methodology can be quite successfully applied to discriminate between stochastic and...

Few authors have studied, either asymptotically or in finite samples, the size and power of seasonal unit root tests when the data generating process [DGP] is a non-stationary alternative aside from the seasonal random walk. In this respect, Ghysels, lee and Noh (1994) conducted a simulation...

The present paper studies the panel data auto regressive (PAR) time series model for testing the unit root hypothesis. The posterior odds ratio (POR) is derived under appropriate prior assumptions and then empirical analysis is carried out for testing the unit root hypothesis of Net Asset Value...

This paper inspects a grid search algorithm to estimate the AR(1) process, based on the joint estimation of the canonical AR(1) equation along with its reverse form. The method relies on the GLS principle, accounting for the covariance error structure of the special estimable system....

Time to event data for econometric tragedies, like mass shootings, have largely been ignored from a changepoint analysis standpoint. We outline a technique for modelling economic changepoint problems using a piece- wise constant hazard model to explain different economic phenomenon....

This paper considers a first-order autoregressive panel data model with individual-specific effects and a heterogeneous autoregressive coefficient. It proposes estimators for the moments of the cross-sectional distribution of the autoregressive coefficients, with a focus on the first two...

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it...

This paper examines long-range dependence in the inflation rates of the G7 countries by estimating their (fractional) order of integration d over the sample period January 1973 - March 2020. The results indicate that the series are very persistent, the estimated value of d being equal to or...

We show that the single-index dynamic factor model developed by Aruoba and Diebold (Am Econ Rev, 100:20-24, 2010) to construct an index of US business cycle conditions is also very useful for forecasting US GDP growth in real time. In addition, we adapt the model to include survey data and...