An important problem of the statistical analysis of time series is to detect change-points in the mean structure. Since this problem is a one-dimensional version of the higher dimensional problem of detecting edges in images, we study detection rules which benefit from results obtained in image...

We develop and test a robust procedure for extracting an underlying signal in form of a time-varying trend from very noisy time series. The application we have in mind is online monitoring data measured in intensive care, where we find periods of relative constancy, slow monotonic trends, level...

Motivated by applications in statistical quality control and signal analysis, we propose a sequential detection procedure which is designed to detect structural changes, in particular jumps, immediately. This is achieved by modifying a median filter by appropriate kernel-based jump preserving...

We investigate the possibility of exploiting partial correlation graphs for identifying interpretable latent variables underlying a multivariate time series. It is shown how the collapsibility and separation properties of partial correlation graphs can be used to understand the relation between...

Der vorliegende Beitrag zielt auf die Diskussion der Zeitreiheneigenschaft der Integration im Hinblick auf die Spezifikation von Fehlerkorrekturmodellen (ECM) ab. Die Erörterungen basieren auf einem einfachen Modell zur Geldangebotsentscheidung, dem ein dynamisches Optimierungsmodell in...

In recent years, extensive literature on the Environmental Kuznets Curve leading to optimistic policy conclusions has attracted great attention. However, the underlying cross-section estimations are not very reliable. Accordingly, this contribution uses time series data for a single country with...

In this paper we model the adjustment process of European Union Allowance (EUA) prices to the releases of announcements at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that the high-frequency EUA price dynamics are very well...

We use time-series of rainfall along with individual fixed effects to estimate the response of body weight to transitory changes in house-hold income and expenditure. Our data consist of a longitudinal sample of subsistence farmers in rural Tazania, representing one of the poorest populations in...

Mainly because of data limitations, the unitary model (dating back to Becker, among others) has been the common-used theoretical framework in microanalysis of the household labor supply. Because of its simplicity, the household members are assumed to allocate time and consumption in consensus,...

This paper presents LINDA - a register-based longitudinal data set for Sweden. LINDA consists of a large panel of individuals, and their household members, which is representative for the population during the period 1960 to 1998. As future years become available, this information will be added...