Time series monitoring methods, such as the Brown and Trigg methods, have the purpose of detecting pattern breaks (or “signals”) in time series data reliably and in a timely fashion. Traditionally, researchers have used the average run length statistic (ARL) on results from generated signal...

The price transmission between markets is often interpreted as providing insights into the market’s infrastructure efficiency and transaction costs. Thus, finding a possible explanation for the degree of integration has become an issue of special interest. Recent researchers have pointed out...

This thesis develops a new Bayesian approach to structural break modeling. The focuses of the approach are the modeling of in-sample structural breaks and forecasting time series allowing out-of-sample breaks. Our model has some desirable features. First, the number of regimes is not fixed and...

Selected Paper prepared for presentation at the Agricultural & Applied EconomicsAssociation’s 2011 AAEA & NAREA Joint Annual Meeting, Pittsburgh, Pennsylvania, July 24-26, 2011. (Poster Presentation)

This paper analyzes the behaviour of the external adjustment path for the four main economies in the euro area. I find a structural break in the behaviour of the net external position at the time of the introduction of the euro for France, Italy and Spain, pointing out that the inception of the...

There is a stark contrast between the recent evolution of labor productivity (and TFP) in the US and EU countries. In the US it accelerated around the mid-1990s and there is evidence of reversion to a high-growth regime. In some EU countries, while employment-population ratios started to rise...

La Gran Moderación (GM) es un fenómeno ampliamente documentado en la literatura y se considera uno de los cambios más importantes en el ciclo económico de Estados Unidos. Todos los trabajos que la analizan usan datos posteriores a la II Guerra Mundial (II-GM), mientras que en este documento...

Este trabajo analiza los cambios en la relación entre el precio del petróleo y el PIB de Estados Unidos desde una perspectiva de largo plazo. Aunque en ninguna de las dos series (tasas de crecimiento del PIB y del precio del petróleo) se detectan cambios estructurales en la media, se...

Este trabajo analiza la relación entre la posición externa neta de Estados Unidos y el régimen de tipo de cambio. Se detecta una ruptura estructural en la posición externa neta de Estados Unidos al final del sistema de tipo de cambio fijo de Bretton Woods, que modificó tanto la media como...