The Seasonal Adjustment Research Appraisal committee was created in Italy to evaluate procedures for seasonal adjustment of economic series. Because the TRAMO-SEATS programs were one of the main procedures considered, the committee sent a selection of 11 series of interest to be analysed. This...

The Seasonal Adjustment Research Appraisal committee was created in Italy to evaluate procedures for seasonal adjustment of economic series. Because the TRAMO-SEATS programs were one of the main procedures considered, the committee sent a selection of 11 series of interest to be analysed. This...

This paper derives exact expressions for the statistical curvature and related geometric quantities in the first order autoregressive models.

To solve an easy-to-understand real world problem, we invite the reader to travel through many useful concepts related to the important models provided by the compound normal distributions

Hierarchical analysis is considered and a multilevel model is presented in order to explore causality, chance and complexity in financial economics. A coupled system of models is used to describe multilevel interactions, consistent with market data: the lowest level is occupied by agents...

We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the JSE. Under the assumption of general...

Instrumental variables estimation can, in principle, avoid biases that ordinary least squares estimation suffers when explanatory variables are correlated with the disturbances. Finding appropriate instruments is a challenge. This paper uses seven recently published empirical papers to...

We obtain semiparametric efficiency bounds for estimation of a location parameter in a time series model where the innovations are stationary and ergodic conditionally symmetric marginale differences but otherwise prossess general depence and distributions of unknown from. We then describe an...