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Our starting place is the first order seasonal autoregressive model. Its series are shown to have canonical model-based decompositions whose finite-sample estimates, filters, and error covariances have simple revealing formulas from basic linear regression. We obtain analogous formulas for seasonal random walks, extending some of the results of Maravall and Pierce (J Time Series Anal, 8:177–293, 1987)...
In seasonal adjustment a time series is considered as a juxtaposition of several components, the trend-cycle, and the seasonal and irregular components. The Bureau of the Census X-11 method, based on moving averages, correction of large errors and trading day adjustments, has long dominated. With the success of ARIMA modelling at the end of the 20th century, methods with better outlier detection and...
We derive computationally simple and intuitive score tests of neglected serial correlation in unobserved component univariate models using frequency domain techniques. In some common situations in which the alternative model information matrix is singular under the null, we derive one-sided extremum tests, which are asymptotically equivalent to likelihood ratio tests, and explain how to compute reliable...
The identification of asymmetric conditional heteroscedasticity is often based on sample cross-correlations between past and squared observations. In this paper we analyse the effects of outliers on these cross-correlations and, consequently, on the identification of asymmetric volatilities. We show that, as expected, one isolated big outlier biases the sample cross-correlations towards zero and hence...
We describe observation driven time series models for Student-t and EGB2 conditional distributions in which the signal is a linear function of past values of the score of the conditional distribution. These specifications produce models that are easy to implement and deal with outliers by what amounts to a soft form of trimming in the case of t and a soft form of Winsorizing in the case of EGB2. We...
In the tradition of Afriat (Int Econ Rev 8:67–77, 1967), Diewert (Rev Econ Stud 40:419–425, 1973) and Varian (Econometrica 50:945–972, 1982), we provide a revealed preference characterisation of exact linear aggregation. This guarantees that aggregate demand can be written as a function of prices and aggregate income alone, while abstracting from income-distributional aspects. We also establish nonparametric...
We provide a model that allows for a transition between the simplest variation of two basic models of strategic network formation: Bala and Goyal’s one-way flow model without decay, where links can be unilaterally formed, and a version without decay of Jackson and Wolinsky’s connections model based on bilateral formation of links. In the transitional model introduced here, these two benchmark models...
In this paper I present a new database of bilateral migrant stocks and I provide new evidence on the determinants of international migration. The new Census-based data are obtained from National Statistical Offices of 24 OECD countries, and they cover the total stock of immigrants in each destination country for 1960–2000, including 188 countries of origin, sometimes in grouped categories. For each...
We model an election between two Downsian mainstream candidates and a third inflexible politician. There is uncertainty about the state of the world. Candidates receive signals on the state and propose a policy to implement. There are two classes of voters: ideological, who are biased towards the policy proposed by the third candidate; and non-ideological, who want the policy implemented to correspond...
This study presents an extension of the Gaussian process regression model for multiple-input multiple-output forecasting. This approach allows modelling the cross-dependencies between a given set of input variables and generating a vectorial prediction. Making use of the existing correlations in international tourism demand to all seventeen regions of Spain, the performance of the proposed model is...
This article presents for the first time a comparative study of the cost of disability for households in 31 European countries. In order to do so, we exploit the European Union Statistics on Income and Living Conditions, its special module on housing conditions for 2007 and 2012 and employ two alternative methodologies, one based on how difficult it is for households to make ends meet and the other...
This study explores the role of taxes in explaining companies’ financing decisions. We test whether the corporate tax shields explanation of capital structure is applicable to firms listed on the Spanish stock exchange over the period 2007–2013. Taxes are found to be economically and statistically significant determinants of capital structure. Our results suggest that marginal tax rates affect the...
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