In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models. The method is based on special properties of Markov processes and a split-sample technique. The results on Markovian processes (intercalary independence and truncation) only...

In recent years, the dynamics of M3 in the euro area have been driven by two factors: a strong preference for liquidity, observed between 2001 and 2003, followed by a normalisation, at a relatively moderate pace, of portfolio behaviour; as regards the counterparts, changes in M3 and net external...

We consider the problem of testing whether the observations X1, · · ·, Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed:...

L'objectif est de spécifier la nature des comportements saisonniers de la demande de séjours touristiques en Tunisie en utilisant les outils récents d'analyse des séries temporelles mensuelles. Les séries disponibles (dépenses touristiques, prix, revenus, nombre de nuitées, capacités...

Cet article propose un réexamen de la spécification de la fonction de demande de monnaie de la zone euro. En effet, les spécifications traditionnelles conduisent à des résultats parfois peu satisfaisants : instabilité des coefficient de court et long termes ; écarts relativement...

In a Constant Proportion Portfolio Insurance (CPPI) framework, a constant risk exposure is defined by the multiple of the strategy. This article proposes an alternative conditional multiple estimation model, which is based on an autoregressive quantile regression dynamic approach. We estimate...

Confronted by increasingly tight budgets and a broad range of alternative options, policy makers need empirical methods to evaluate the effectiveness of policies aimed at supporting the diffusion of renewable energy sources (RES). Rigorous empirical studies of renewable energy policy...

This paper first presents a time-series analysis of factors influencing aggregate health care expenditure in some OECD countries. We focus on supply-side factors (especially the diffusion of medical technologies) and first estimate a single model on six countries. The results suggest that...

In this paper, we study the asymptotic distribution of a simple two-stage (Hannan-Rissanen-type) linear estimator for stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions for consistency and asymptotic normality are...