A theory of band-limited linear stochastic processes is described and it is related to the familiar theory of ARMA models in discrete time. By ignoring the limitation on the frequencies of the forcing function, in the process of fitting a conventional ARMA model, one is liable to derive...

These notes have been written to accompany a tutorial session held at the London School of Economics as a prelude to the ERCIM conference of December 2010.

Alternative methods for the seasonal adjustment of economic data are described that operate in the time domain and in the frequency domain. The time-domain method, which employs a classical comb filter, mimics the effects of the model-based procedures of the SEATS–TRAMO and STAMP programs. The...

In statistical time-series analysis, signal processing and control engineering, a transfer function is a mathematical relationship between a numerical input to a dynamic system and the resulting output. The theory of transfer functions describes how the input/output relationship is affected by...

This paper shows how a frequency-selective filter that is applicable to short trended data sequences can be implemented via a frequency-domain approach. A filtered sequence can be obtained by multiplying the Fourier ordinates of the data by the ordinates of the frequency response of the filter...

This paper selectively reviews the literature on behavioural finance, focusing on the aggregate market implications of the behavioural biases that this literature has identified. Advocates of behavioural economics and finance argue that economic agents behave in a way which departs significantly...

In this paper we develop a model to identify determinants of macroeconomic integration in the African CFA Franc Zone and in Dollar-pegging Caribbean countries (including members of the East Caribbean Currency Union). These two groups of countries each comprise states using several different...

This paper develops a hierarchical principal-agent model to explore the influence of corruption, bribery, and politically provided oversight of production on the efficiency and level of output of some publicly provided good. Under full information, an honest politician acheives the first best...

We challenge recent findings by Abiad and Mody (2005) which suggest that financial liberalization has little to do with political variables. This analysis is at odds with some of the established literature, and only with difficulty comes to terms with the considerable cross-national variation in...