We analyze di¤erent residual-based tests for the null of no cointegration using GLS detrended data. We …nd and simulate the limiting distributions of these statistics when GLS demeaned and GLS detrended data are used. The distributions depend of the number of right-hand side variables, the...

Perron and Rodríguez (2003) claimed that their procedure to detect for additive outliers (Tau-d) is powerful even when we have departures from the unit root case. In this note, we use Monte-Carlo simulations to show that Tau-d is powerful when we have ARFIMA(p; d; q) errors. Using simulations,...

This note analyzes the empirical size of the augmented Dickey and Fuller (ADF) statistic proposed by Perron and Rodríguez (2003) when the errors are frac- tional. This ADF is based on a searching procedure for additive outliers based on …rst-differences of the data named Tau- d. Simulations...

This note analyzes the empirical size of the augmented Dickey and Fuller (ADF) statistic proposed by Perron and Rodríguez (2003) when the errors are fractional. This ADF is based on a searching procedure for additive outliers based on first-differences of the data named td. Simulations show...

In recent years, the econometrics literature has shown a growing interest in the study of partially identified models, in which the object of economic and statistical interest is a set rather than a point. The characterization of this set and the development of consistent estimators and...

This article is an empirical analysis on the optimal level of disaggregation by sectors and the best econometric strategy in order to forecast Mexican inflation. We compare different disaggregate modeling strategies based on: 1) univariate ARIMA models, 2) panel data methodology, 3) vector error...

This paper discusses two alternative two-part models for fractional response variables that are defined as ratios of integers. The first two-part model assumes a Binomial distribution and known group size. It nests the one-part fractional response model proposed by Papke and Wooldridge (1996)...

Cet article présente les contributions originelles et essentielles de T. Sargent et C. Sims à la modélisation macro-économétrique. Après avoir exposé leur critique de la modélisation existante, cet article s'attache à préciser l'originalité de leurs approches respectives. La...

Multilevel Analysis - Techniques and Applications is intended as an introduction to multilevel analysis for students and applied researchers, a book that can be used either in psychology, education, sociology, or business courses. Hox takes the reader step by step into the area of multilevel...

Commodity prices again! The twentieth century has only been the latest spectator to the impacts and importance of commodity price fluctuations. It is reasonably well known that commodity price records have come down to us from the ancient civilizations of India, Mesopotamia, Egypt, Greece and...