Time series resulting from aggregation of several sub-series can be seasonally adjusted directly or indirectly. With model-based seasonal adjustment, the sub-series may also be considered as a multivariate system of series and the analysis may be done jointly. This approach has considerable...

In this paper, we apply time series techniques for panel data to the environmental Kuznets curve (EKC) model. Within the literature that estimates emissions-income relations in the EKC context, little attention has been paid to the time series properties of the data and in particular to whether...

A common feature of ecological datasets is their tendency to contain many zero values. Statistical inference based on such data is likely to be inefficient or wrong unless careful thought is given to how these zeros arose and how best to model them. In this paper, we propose a framework for...

A local level model has a deterministic level when the signal-to-noise ratio q is zero. In this paper we investigate the properties of the maximum likelihood estimator of q, paying particular attention to the case where its true value is zero. These properties are shown to be crucially dependent...

This dissertation collects two papers regarding the econometric and economic theoryand testing of the predictability of asset returns. It is widely accepted that stockreturns are not only predictable but highly so. This belief is due to an abundanceof existing empirical literature fi nding often...

This dissertation examines the relationship between public infrastructure and regionaleconomic productivity in China. Based on a panel data set for 29 regions of China for a17-year period of 1987-2003, a three-step nonstationary panel analytical procedure isconducted to investigate whether...

La crisis económica reciente ha alterado la dinámica de las series económicas y, como consecuencia, ha introducido incertidumbre en el ajuste estacional en estos últimos años. El problema se discutió en seminarios celebrados en Eurostat y en el Banco Central Europeo durante el año 2010,...

We examine the short-term performance of two alternative approaches to forecasting using dynamic factor models. The fi rst approach extracts the seasonal component of the individual indicators before estimating the dynamic factor model, while the alternative uses the nonseasonally adjusted data...

Deletion diagnostics are derived for the effect of individual observations on the estimated transformation of a time series. The paper uses the modified power transformation of Box and Cox to provide a parametric family of transformations. Inference about the transformation parameter is made...