In this paper we use the BDS test developed by Brock-Dechert-Scheinkman (1987) to investigate whether ARMA Models for the US real GNP generate i.i.d. residuals. The second step,after reviewing some results from Brock-Sayer (1988) and Scheinkman-LeBaron (1989), SL, we will use a different kind of...

In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...

In this paper we enquire if nonlinear or linear models produce iid residuals using the BDS test for the G7 industrial production series. We found that nonlinear models produce iid residual for the USA, and evidence of NL are also detected for Canada and Germany, while Japanese data does not...

The problem we want to solve in this paper is that of finding a statistical test that pennits us to compare the impulse response function (JRF) of a linear model with that of a nonlinear one. We achieve our goal starting with a simple case where the comparison is between two VAR models of...

The aim of this paper is to assess whether the data-generation process of the GDP can be interpreted by means of a nonlinear model instead of a linear one. We model the first differences of logarithmic real GDP data with constant parameters for those European countries (France, Germany, Italy,...

In the last few years new techinques able to help in explaining macroeconomic fluctuations have been developed. Following the article o fBlanchard (1989), concerning US macroeconomic data we will examine the UK economy using a new methodology, the so called "Structural" VAR analysis, developed...

The aim of this paper is to assess whether the data-generation process of the GDP can be interpreted by means of a nonlinear model instead of a linear one. We model the first differences of logarithmic real GDP data with constant parameters for those European countries (France, Germany, Italy,...

Modelling comovements amongst multiple economic variables takes up a relevant part of the literature in time series econometrics. Comovement can be defined as “move together”, that is as movement that several series have in common. The pattern of the series could be of different nature, such...

For non-stationary vector autoregressive models (VAR hereafter, or VAR with moving average, VARMA hereafter), we show that the presence of common cyclical features or cointegration leads to a reduction of the order of the implied univariate autoregressive-integrated-moving average (ARIMA...

This paper contributes to the econometric literature on structural breaks by proposing a test for parameter stability in VAR models at a particular frequency 'omega', where 'omega is an element of [0, pi]'.When a dynamic model is affected by a structural break, the new tests allow for detecting...