We derive computationally simple and intuitive score tests of neglected serial correlation in unobserved component univariate models using frequency domain techniques. In some common situations in which the alternative model information matrix is singular under the null, we derive one-sided...

Realizamos dos contribuciones complementarias para estimar eficientemente modelos factoriales dinámicos: un algoritmo EM espectral y un procedimiento de inferencia indirecta iterada rapidísimo para modelos ARMA sin pérdida de eficiencia asintótica para cualquier número finito de...

Documentamos una subida y una caída del tipo de interés natural (r*) para varias economías avanzadas, que comienza a aumentar en la década de los sesenta y alcanza su punto álgido a finales de los años ochenta. Llegamos a esta conclusión después de demostrar que el modelo de Laubach y...

We introduce a frequency domain version of the EM algorithm for general dynamic factor models. We consider both AR and ARMA processes, for which we develop iterative indirect inference procedures analogous to the algorithms in Hannan (1969). Although our proposed procedure allows researchers to...

We derive computationally simple and intuitive score tests of neglected serial correlation in unobserved component univariate models using frequency domain techniques. In some common situations in which the alternative model information matrix is singular under the null, we derive one-sided...

We derive computationally simple and intuitive score tests of neglected serial correlation in unobserved component univariate models using frequency domain techniques. In some common situations in which the information matrix is singular under the null we derive extremum tests that are...