Time series models are often fitted to the data without preliminary checks for stability of the mean and variance, conditions that may not hold in much economic and financial data, particularly over long periods. Ignoring such shifts may result in fitting models with spurious dynamics that lead...

Commonly used tests to assess evidence for the absence of autocorrelation in a univariate time series or serial cross-correlation between time series rely on procedures whose validity holds for i.i.d. data. When the series are not i.i.d., the size of correlogram and cumulative Ljung-Box tests...

This paper presents new results on the identification of heteroskedastic structural vector autoregressive (HSVAR) models. Point identification of HSVAR models fails when some shifts in the variances of the structural shocks are suspected to be statistically indistinguishable from each other....

Relatively little attention has been paid to the role that externalities play in determining the pecuniary returns to migration. This paper addresses this gap, using microeconomic data for more than 100,000 individuals living in the European Union (EU) for the period 1994-2001 in order to...