A bayesian approach is used to estimate a nonparametric regression model. The main features of the procedure are, first, the functional form of the curve is approximated by a mixture of local polynomials by Bayesian Model Averaging (BMA); second, the model weights are approximated by the BIC...

Since the seminal paper by Dickey and Fuller in 1979, unit-root tests have conditioned the standard approaches to analyse time series with strong serial dependence, the focus being placed in the detection of eventual unit roots in an autorregresive model fitted to the series. In this paper we...

This article proposes an adaptive forgetting factor for the recursive estimation of time varying models.The proposed procedure is based on the Cook's distance of the new observation.It is proven that the proposed procedure encompasses the adaptive features of classic adaptive forgetting factors...

This paper belongs to the recent investment literature focused on the modelling of microeconomic investment decisions. The increasing concern about this topic is related to the growing availability of microeconomic datasets which show the investment behavior taking place at the firm level. This...

In this paper we consider a model with stochastic trend, seasonal and transitory components with the disturbances of the trend and transitory disturbances specified as QGARCH models. We propose to use the differences between the autocorrelations of squares and the squared autocorrelations of the...

For a singular random matrix Y, we find the Jacobians associated with the following decompositions; QR, Polar, Singular Value (SVD), L´U, L´DM and modified QR (QDR). Similarly, we find the Jacobinas of the following decompositions: Spectral, Cholesky´s, L´DL and symmetric non-negative...

We propose a vector autoregressive moving average process as a model for daily weather data. For the rainfall variable a monotonic transformation is applied to achieve marginal normality, thus defining a latent variable, with zero rainfall data corresponding to censored values below a threshold....

Inflation forecasts are in great demand by agents in financial markets and monetary authorities that also require frequent updates. In the case of the EMU, these can be done monthly using Harmonised Indices of Consumer Prices (HICP). Analysing the HICP it was detected in a previous paper that...

This paper analyses the effects caused by outliers on the identification and estimation of GARCH models. We show that outliers can lead to detect spurious conditional heteroscedasticity and can also hide genuine ARCH effects. First, we derive the asymptotic biases caused by outliers on the...

An effective way of improving the reliability of a system is the allocation of active redundancy. Let 1 X , 2 X be independent lifetimes of the components 1 C and 2 C , respectively, which form a series system. Let denote ( ) ( ) 2 1 1 , , max min X X X U = and ( ) ( ) X X X U , max , min 2 1 2...