A new time series model is proposed to describe observed asymmetries in postwar unemployment data. We assume that recession periods, when unemployment increases rapidly, are caused by unobserved positive shocks. The generating mechanism of these latent shocks is a censored regression model,...

Due to high and low volatility periods, time series of absolute returns experience temporary level shifts (that is, periods with outliers) which differ in length and size. In this paper we put forward a new model which can describe and forecast the location and size of such level shifts. Our so...

Due to high and low volatility periods, time series of absolute returns experience temporary level shifts (that is, periods with outliers) which differ in length and size. In this paper we put forward a new model which can describe and forecast the location and size of such level shifts. Our so...

In this paper the seasonal unit root test of Hylleberg et al. (1990) is generalized to cover a heterogenous panel. The procedure follows the work of Im, Pesaran and Shin (2002). Test statistics are proposed and critical values are obtained by simulations. Moreover, the properties of the tests...

High survey nonresponse in unemployment duration studies may have a strong effect on inference if the so called causal mechanism is present. A robust method of testing the causal nonresponse is proposed for data sets where survey information can be combined with complete administrative records....

En este trabajo se propone un modelo jerárquico Gamma para el estudio bayesiano de tiempos de desempleo con covariables utilizando técnicas de análisis de supervivencia. Se trata de un modelo de efectos aleatorios o modelo de poblaciones debido a su estructura jerárquica, que permite la...

In this paper the seasonal unit root test of Hylleberg et al. (1990) is generalized to cover a heterogenous panel. The procedure follows the work of Im, Pesaran and Shin (2002). Test statistics are proposed and critical values are obtained by simulations. Moreover, the properties of the tests...

This paper analyzes the link between the diffusion of information- and communication technology (ICT) and both the skill structure and employment expectations of the different skill categories. The analysis is based on cross-sectional data for 4150 German firms conducted in mid-2000. The...