This paper provides an empirical investigation of the wage, price and unemployment dynamics that have taken place in Spain during the last two decades. The aim of this paper is to shed some light on the impact of the European economic integration process on Spanish labour market and the...

The purpose of the present paper is to analyse a simple bubble model suggested by Blanchard and Watson. The model is defined by y(t) =s(t)¿y(t-1)+e(t), t=1,…,n, where s(t) is an i.i.d. binary variable with p=P(s(t)=1), independent of e(t) i.i.d. with mean zero and finite variance. We take ¿1...

Global sea levels are rising which is widely understood as a consequence of thermal expansion and melting of glaciers and land-based ice caps. Due to physically-based models being unable to simulate observed sea level trends, semi-empirical models have been applied as an alternative for...

Economic theories are often fitted directly to data to avoid possible model selection biases. We show that embedding a theory model that specifies the correct set of m relevant exogenous variables, x{t}, within the larger set of m+k candidate variables, (x{t},w{t}), then selection over the...

Iterated one-step Huber-skip M-estimators are considered for regression problems. Each one-step estimator is a reweighted least squares estimators with zero/one weights determined by the initial estimator and the data. The asymptotic theory is given for iteration of such estimators using a...

There are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse by examples the effect of nonstationarity on inference using these methods and compare them to model based inference. Finally we analyse some data on annual mean temperature and...

We discuss the moment condition for the fractional functional central limit theorem (FCLT) for partial sums of x(t)=Δ^(-d)u(t), where d є (-1/2,1/2) is the fractional integration parameter and u(t) is weakly dependent. The classical condition is existence of qmax(2,(d+1/2)-¹) moments of the...

This paper contains an overview of some recent results on the statistical analysis of cofractional processes, see Johansen and Nielsen (2010b). We first give an brief summary of the analysis of cointegration in the vector autoregressive model and then show how this can be extended to fractional...

The Forward Search is an iterative algorithm concerned with detection of outliers and other unsuspected structures in data. This approach has been suggested, analysed and applied for regression models in the monograph Atkinson and Riani (2000). An asymptotic analysis of the Forward Search is...

We develop a Cp statistic for the selection of regression models with stationary and nonstationary ARIMA error term. We derive the asymptotic theory of the maximum likelihood estimators and show they are consistent and asymptotically Gaussian. We also prove that the distribution of the sum of...