DES - Working Papers. Statistics and Econometrics. WS

From Universidad Carlos III de Madrid. Departamento de Estadística
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2000: Forecasting monetary union inflation: a disaggregated approach by countries and by sectors

Eva Senra and Rebeca Albacete

2000: Outliers robust ECM cointegration test based on the trend components

Miguel A. Arranz

2000: A powerful portmanteau test of lack of fit for time series

Julio Rodríguez

2000: Spectral density estimators at frequency zero for nonstationarity tests in arma models

Ismael Sánchez

2000: Efficient tests for unit roots with prediction errors

Ismael Sánchez

2000: Combining search directions using gradient flows

Javier M. Moguerza and Francisco J. Prieto

2000: Subsampling inference in cube root asymptotics with an application to manski's maximum score estimator

Juan M. Rodríguez Poo and Michael Wolf

2000: Improved estimation of the covariance matrix of stock returns with an application to portfolio selection

Olivier Ledoit and Michael Wolf

2000: A well conditioned estimator for large dimensional covariance matrices

Olivier Ledoit and Michael Wolf

2000: Derivative estimation and testing in generalized additive models

Lijian Yang and Wolfgang Härdle

2000: Bootstrap inference in semiparametric generalized additive models

Wolfgang Hardle, Sylvie Huet and Enno Mammen

2000: Semiparametric estimation of weak and strong separable models

Juan M. Rodriguez Poo and Philippe Vieu

2000: Descriptive measures of multivariate scatter and linear dependence

Julio Rodríguez

2000: Some remarks on estimating a covariance structure model from a sample correlation matrix

Alberto Maydeu Olivares and Adolfo Hernández Estrada

2000: A model free cointegration approach for pairs of I(d) variables

Felipe M. Aparicio and Miguel A. Arranz

2000: Forecasting with nostationary dynamic factor models

Pilar Poncela

2000: Syncronicity between macroeconomic time series: an exploratory analysis

Felipe M. Aparicio and Ana García

2000: Pareto optimality in multiobjective Markov control processes

Onésimo Hernández-Lerma and Rosario Romera

2000: Stochastic comparisons of nonhomogeneous processes

Félix Belzunce, José M. Ruiz and Moshe Shaked

2000: Characterizations involving conditional expectations based on a functional derivative approach

Miguel Martín

2000: Structural tests in additive regression

Wolfgang Hardle and Vladimir Spokoiny

2000: Preservation of some stochastic orders by order statistics

Asok K. Nanda and Moshe Shaked

2000: Forecasting returns and volatilities in GARCH processes using the bootstrap

Lorenzo Pascual

2000: Notes on time serie analysis, ARIMA models and signal extraction

Agustín Maravall

2000: An application of tramo-seats: changes in seasonality and current trend-cycle assesment: the german retail trade turnover series

Agustín Maravall

1999: Subsampling intervals in autoregressive models with linear time trend

Joseph P. Romano and Michael Wolf

1999: Limiting discounted-cost control of partially observable stochastic systems

Onésimo Hernández-Lerma and Rosario Romera

1999: Nonparametric estimation and testing of interaction in additive models

Dag Tjostheim and Lijian Yang

1999: Executive pay and corporate financial performance. An exploratiove data analysis

Ulrike Grasshoff and Joachim Schwalbach

1999: Semiparametric three step estimation methods in labor supply models

Juan M. Rodríguez-Póo and Ana I. Fernández

1999: Cointegration Testing in Single Error-Correction Equations in the Presence of Linear Time Trends

Uwe Hassler

1999: Nonsense regressions due to time-varying means

Uwe Hassler

1999: The kurtosis coeficient and the linear discriminant function

Francisco J. Prieto

1999: Statiscal research in Europe:1985-1997

J. A. Gil and J. Rodriguez

1999: Trend in statistical research productivity by journal publications over the period 1985-1997

J. A. Gil and J. Rodriguez

1999: Asymptotic inference for monstationary fractionally integrated processes

Francesc Marmol

1999: Finite sample properties of a QML estimator of stochastic volatility models with long memory

Ana Pérez

1999: How spurious features arise in case of fractional cointegration

Francesc Marmol

1999: Locally and globally robust estimators in regression

Sonia Hernández and Víctor J. Yohai

1999: Firms´productivity and the export market: a nonparametric approach

Jose C. Fariñas and Sonia Ruano

1999: Subsampling, symmetrization, and robust interpolation

Dimitris N. Politis, Michael Wolf and Joseph P. Romano

1999: On the asymptotic theory of subsampling

Dimitris N. Politis, Joseph P. Romano and Michael Wolf

1999: Seasonal outliers in time series

Agustín Maravall

1999: Global rates of convergence for the bias of singular integral estimators and their shifted versions

Jose Vidal-Sanz

1999: A new decomposition method applied to optimization problems arising in power systems: Local and global behavior

Antonio J. Conejo, Francisco J. Nogales and Francisco J. Prieto

1999: Bootstrap goodness-of-fit tests for farima models

Javier Hidalgo

1999: On universal unbiasedness of delta estimators

Jose Vidal-Sanz

1999: Effects of parameter estimation on prediction densities a bootstrap approach

Lorenzo Pascual

1999: Labor contracts and flexibility: evidence from a labor markt reform in Spain

Victor Aguirregabiria

1999: The power of residual base tests for cointegration when residuals are fractionally integrated

Walter Krämer and Francesc Marmol

1999: Ols-based asymptotic inference in linear regression models with trending regressors and ar(p)-disturbances

Walter Krämer and Francesc Marmol

1999: Bootstrap Predictive Inference for Arima Processes

Lorenzo Pascual

1999: Constant coefficient tests for random coefficient regression

Pedro Delicado

1999: Distributional aspects in partial least squares regression

Rosario Romera

1999: A new instrumental variable approach for estimation and testing in fractional cointegrating regressions

Francesc Marmol and Felipe M. Aparicio

1999: Short-term and long-term trends, seasonal and the business cycle

Agustín Maravall

1999: Non-uniformity of job-matching in a transition economy- a nonparametric analysis for the czech republic

Stefan Profit