This paper identifies structural breaks in the post-World War II joint dynamics of U.S. inflation, unemployment and the short-term interest rate. We derive a structural break-date procedure which allows for long-memory behavior in all three series and perform the analysis for alternative data...

A new insurance provider or a regulatory agency may be interested in determining a risk measure consistent with observed market prices of a collection of risks. Using a relationship between distorted coherent risk measures and spectral risk measures, we provide a method for reconstruction...

The interpretation of the Fama and French (1993) SMB and HML factors as risk factors is an open question that has carried a lot of controversy in the asset pricing literature and it is far from being solved. The aim of this study is to contribute to the understanding of this issue by analyzing a...

We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic time series. It is based on Robinson’s (1994) univariate tests and is similar in spirit to the one proposed by Engle and Granger (1987), testing initially the order of integration of the...

A new automatic method based on the wavelet and Hilbert transforms for measuring the motor unit action potential (MUAP) duration is presented in this work. A total of 182 MUAPs from two different muscles were analysed. The average MUAP waveform was wavelet-transfomed, and a particular scale of...

A semiparametric bivariate fractionally cointegrated system is considered, integration orders possibly being unknown and I(0) unobservable inputs having nonparametric spectral density. Two kinds of estimate of the cointegrating parameter ν are considered, one involving inverse spectral...

The classical Allingham-Sandmo-Yitzhaki model explains tax evasion behavior based on the probability of being discovered, the amount of the fine imposed and the level of risk aversion. Nonetheless, empirical studies show that the decision and the level of tax evasion depends also on non economic...

Economic theories in dynamic contexts usually impose certain restrictions on the conditional mean of the underlying economic variables. Omnibus specification tests are the primary tools to test such restrictions when there is no information on the possible alternative. In this paper we study in...

This paper shows that the concept of Expectational stability (E-stability) in a multivariate framework is inherently model-dependent. Whereas a Rational Expectations equilibrium (REE) is subject to model-specific parameter restrictions from the economic model at hand, a perceived law of motion...

This paper deals with the analysis of the number of tourists travelling to the Canary Islands by means of using different seasonal statistical models. Deterministic and stochastic seasonality is considered. For the latter case, we employ seasonal unit roots and seasonally fractionally integrated...