This paper analyses the statistical behavior of the US dollar, against nine different currencies, over the float period, with a monthly data set. The martingale hypothesis is rejected for all currencies. However, all currencies have a unit root. There is overwhelming evidence for significant...

Inference about predictive ability is usually carried-out in the form of pairwise comparisons between two forecasting methods. Nevertheless, some interesting questions are concerned with families of models and not just with a couple of forecasting strategies. For instance: Are time-series models...

We show that the CUSUM and LM tests for structural change in the volatility process enjoy monotonic power. The framework is general including many recently proposed non-stationary GARCH-type models. The result is in contrast to the well-known issue of non-monotonic power for the CUSUM-based...

En este artículo se pretende analizar si existe histéresis en la tasa natural de desempleo, analizar sus determinantes y sus efectos sobre el mercado laboral para el consolidado de siete á reas metropolitanas en Colombia. Usando los datos de la Encuesta Continua de Hogares (ECH), se...

Resumen: Castaño et al. (2008) proponen una prueba para investigar la existencia de memoria larga, basada en el parámetro de diferenciación fraccional de un modelo ARFIMA (p, d, q); se muestra que al usar una aproximación autorregresiva de orden igual al entero más próximo a p* = T1/3 para...

En este texto se analiza el comportamiento de la informalidad laboral para ungrupo de países latinoamericanos, de acuerdo a un enfoque teórico mixto en el quese tienen en cuenta explicaciones estructuralistas e institucionalistas, con la intenciónde determinar, mediante un ejercicio...

In this paper we propose tests based on GLS-detrending for testing the null hypothesis of deterministic seasonality. Unlike existing tests for deterministic seasonality, our tests do not suffer from asymptotic size distortions under near integration. We also investigate the behavior of the...

We consider hypothesis testing in a general linear time series regression framework when the possibly fractional order of integration of the error term is unknown. We show that the approach suggested by Vogelsang (1998a) for the case of integer integration does not apply to the case of...

We compare the asymptotic local power of upper-tail unit root tests against an explosive alternative based on ordinary least squares (OLS) and quasi-differenced (QD) demeaning/detrending. We find that under an asymptotically negligible initialisation, the QD-based tests are near asymptotically...

This paper proposes a modification of an optimal test for cycles in multiple time series and applies it to test the hypothesis that there is a relationship between stock returns and the phases of the moon. No significant relationship is found, which is in line with the evidence from descriptive...