In this paper we explore, analyse and apply the change-points detection and location procedures to conditional heteroskedastic processes. We focus on processes that have constant conditional mean, but present a dynamic behavior in the conditional variance and which can also be affected by...

El presente libro como propósito avanzar en el estudio de la política macroeconómica en el MERCOSUR, y analizar los obstáculos y limitaciones de la coordinación macroeconómica dentro del bloque. El tema es de indiscutible relevancia a la luz de la profundización de las relaciones...

Hodrick-Prescott (HP) filtering of (most often, seasonally adjusted) quarterly series is analysed. Some of the criticism to the filter are adressed. It is seen that, while filtering strongly affects autocorrelations, it has little effect on crosscorrelations. It is argued that the criticism that...

In the analysis of time series, it is frequent to classify perturbations as Additive Outliers (AO), Innovative Outliers (IO), Level Shift (LS) outliers or Transitory Change (TC) outliers. In this paper, a new outlier type, the Seasonal Level Shift (SLS), is introduced in order to complete the...

Filters used to estimate unobserved components in time series are often designed on a priori grounds, so as to capture the frequencies associated with the component. A limitation of these filters is that they may yield spurious results. The danger can be avoided if the so called ARIMA model...

Hodrick-Prescott (HP) Filter of (most often, seasonally adjusted) quaterly series is analysed. Some of the criticism to the filter are adressed. It is seen that, while filtering strongly affects autocorrelations, it has little effect on crosscorrelations. It is argued that the criticism that HP...

The paper details an application of programs TRAMO and SEATS to seasonal adjustment and trend-cycle estimation. The series considered is the German Retail Trade Turnover series, for which, when adjusting with X12-ARIMA, the Bundesbank had identified two problems. One had to do with...

The Hodrick-Prescott filter applied to seasonally adjusted series has become a paradigm for business-cycle estimation at many economic agencies and institutions. We show that the filter can be obtained from MMSE estimation of the components in an unobserved component model, where the original...

Present practice in applied time series work, mostly at economic policy or data producing agencies, relies heavily on using moving average filters to estimate unobserved components in time series, such as the seasonally adjusted series, the trend, or the cycle. The purpose of the present paper...

In this monograph, first, we analyze in detail some of the major limitations of the standard procedure to estimate business cycles with the Hodrick-Prescott (HP) filter. By incorporating time series analysis techniques, it is seen how some intuitive and relatively simple modifications to the...