We argue for the adoption of a predictive approach to model specification. Specifically, we derive the difference between means and the ratio of determinants of covariance matrices when a subset of explanatory variables is included or excluded from a regression. For several special cases these...

SURGAT is a RATS menu-driven program to help in the analysis of the seasonal component and the trend of a (quarterly, monthly or annual) time series. Once the series is selected, a set of simple transformations may be applied: log, regular difference, seasonal difference, regular+seasonal...

A general framework is proposed for (auto)regression nonparametric estimation of recurrent time series in a class of Hilbert Markov processes with a Lipschitz conditional mean. This includes various nonstationarities by relaxing usual dependence assumptions as mixing or ergodicity, which are...

Our study revisits Beck and Katz’ (1995) comparison of the Parks and PCSE estimators using time-series, cross-sectional data (TSCS). Our innovation is that we construct simulated statistical environments that are designed to closely match “real-world,” TSCS data. We pattern our statistical...

We introduce a new class of distributions to model directional data, based on hyperspherical log-splines. The class is very flexible and can be used to model data that exhibits features that cannot be accommodated by typical parametric distributions, such as asymmetries and multimodality. The...

In this paper we use smooth transition vector error-correction models (STVECMs) in a simulated out-of-sample forecasting experiment for the unemployment rates of the four non-Euro G-7 countries, the U.S., U.K., Canada, and Japan. For the U.S., pooled forecasts constructed by taking the median...

Many topics of interest to economists involve the passage of time. How long does a typical spell of unemployment last? Has the time between births increased in recent years as women's relative earnings increased? Answers to these questions are desired both for the purpose of sorting out various...

This paper constructs the probability space underlying the random variable of any time dependent econometric specification. The construction links concrete economic activity, both perceived and recorded, and econometric formulations. Furthermore, it is argued that the probability events...