In this paper, we propose a Bayesian hierarchical model based on the partial adjustment model described by Wu and Ho (Rev. Quant. Finance Acc. 9 (1997) 71). The proposed model allows us to estimate the average adjustment coefficients associated with the error correction component and with the...

A methodology is proposed to select the information set in ARMA-GARCH models in order to forecast the future evolution of an univariate heteroscedastic time series when it is suspected that the DGP is time changing. Using this methodology the stability of the DGP in the Spanish Stock Market is...

In this paper we consider the selection of the information set in ARMA-GARCH models using the methodology proposed in Muñoz et al. (2001) based on ideas of Phillips (1996). To that end, we analyse the performance of some selection criteria asymptotically equivalent to the Bayes factor and...

In this paper we deal with the problem of variable selection in spatiotemporal autoregressive (STAR) models with neighbourhood effects. We propose a procedure to carry out the selection process, taking into account the uncertainty associated with estimation of the parameters and the predictive...

Using the perceptions of a sample of 231 people from a Spanish region as a case study, this paper aims to respond to the increasing demand for measurement of economic, social and environmental performance of renewables implementation. First, from this information, the paper analyzes the...