Starting from a day-to-day model on hotel specific guest nights we obtain an integer-valued moving average model by cross-sectional and temporal aggregation. The two parameters of the aggregate model reflect the daily mean check-in and the daily check-out probability. Letting the parameters be...

A new simple formula is found to correct the underestimation of the standard deviation for total lead time demand when using simple exponential smoothing. This new formula allows one to see readily the significant size of the underestimation of the traditional formula and can easily be...

Let X1,X2,...Xn be i.i.d. N-dimensional random variables having an unknown support of probability density denoted G; we suppose that G belongs to a functional class "g" of compact sets with smooth upper surface called boundary fragments. The problem consists in testing the hypotheses G=Go...

Procedures for estimating a linear single-equation model by means of panel data with errors-in-variables are considered. To eliminate fixed individual heterogeneity, the equation is differenced across one or more than one periods. The differenced equations can be estimated by using as...

We study the robustness of block resampling procedures for time series. We first derive a set of formulas to quantify their quantile breakdown point. For the block bootstrap and the sub- sampling, we find a very low quantile breakdown point. A similar robustness problem arises in relation to...

This paper takes a computationnaly simple LS approach to develop a more efficient estimation procedure, which we call Residual Augmented Least Square (RALS), than OLS when the errors are not normally distributed. The efficiency gain is from manipulating the higher moment conditions implied by...

Nonparametric unit-root tests are a useful addendum to the tool-box of time-series analysis. They tend to trade off power for enhanced robustness features. We consider combinations of the RURS (seasonal range unit roots) test statistic and a variant of the level-crossings count. This combination...

This paper considers a general model specification test for nonlinear multivariate cointegrating regressions where the regressor consists of a univariate integrated time series and a vector of stationary time series. The regressors and the errors are generated from the same innovations, so that...

This paper analyses the presence of unit roots in some macroeconomic time series of the Spanish economy. Stochastic properties of the time series have been studied focusing on two aspects, both consistent with the possibility that there might be structural changes affecting the time series...

A unified framework for various nonparametric kernel regression estimators is presented, based on which we consider two nonparametric tests for neglected nonlinearity in time series regression models. One of them is the goodness-of-fit test of Cai, Fan, and Yao (2000) and another is the...