The aim of the paper is to go beyond the detection of outliers in multivariate time series, and to find regularities in the effect of special events on the series. The tool is a factor model in which the direction of every column of the loading matrix is identified, in contrast with Gaussian...

The application of rescaled range statistics in econometrics is restricted to long memory detection in economic and financial time series. However, in this paper it is shown how such statistics can be generalized and used to test the unit root hypothesis. The proposed generalizations lead to...

processes observationally equivalent and that unit root tests virtually have no power to detect stationary processes around switching trends, although autocorrelation-robust unit root tests are not affected by size distortions. Conversely, Markov switches in the mean of the transitory components...