The present article offers a careful description of empirical identification of possible multiple changes in regime. We apply recently developed tools designed to select among regime-switching models among a broad class of linear and nonlinear regression models and provide a discussion of the...

Within a flexible parametric regression framework (Hamilton, 2001) we provide further evidence on the existence of a nonlinear component in the quarterly growth rate of the US real GNP. We implement a battery of new tests for neglected nonlinearity based on the theory of random fields (Dahl and...

This paper looks for empirical evidence to show if a very interventionist government stimulates or not private investment in Latin America. Using the same model as Caballero-Urdiales y López-Gallardo (2012), we extend their analysis from five Latin-American countries to all Latin America. The...

Spanish Abstract: Este artículo busca evidencia empírica acerca de si un aumento de los impuestos, del gasto público y en general, un estado muy intervencionista estimula o desestimula la inversión privada en América Latina. Usando los mismos determinantes de la inversión privada que...

What type of crisis is generated when debt increases? We study the Spanish debt evolution in the 19th and 20th centuries by introducing currency and stock-market crises in the Reinhart and Rogoff (2011) framework. We find their same results for the determinants of banking and debt crises but...

Are transaction costs and half-lives between two cities the same in both directions in traditional city-based monetary systems? Market conditions and political circumstances may not justify this assumption; and we provide evidence that it does not hold in the 1825-1885 period in Spain. Moreover,...

Most of the literature on testing ARCH models focuses on the null hypothesis of no-ARCH effects. In this paper, we consider the general problem of testing any possible set of coefficient values in ARCH models, which may be non-stationary, with Gaussian and non-Gaussian errors, as well as with...

In this article we show how bias approximations for the quasi maximum likelihood estimators of the parameters in Generalized Autoregressive Conditional Heteroskedastic (GARCH)(p, q) models change when any number of exogenous variables are included in the mean equation. The approximate biases are...