DES - Working Papers. Statistics and Econometrics. WS

From Universidad Carlos III de Madrid. Departamento de Estadística
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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

Stefan Sperlich, Dag Tjostheim and Lijian Yang

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

Ulrike Grasshoff, Joachim Schwalbach and Stefan Sperlich

1999: Semiparametric three step estimation methods in labor supply models

Juan M. Rodríguez-Póo, Stefan Sperlich 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

Daniel Peña and Francisco J. Prieto

1999: Statiscal research in Europe:1985-1997

J. A. Gil, Daniel Peña and J. Rodriguez

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

J. A. Gil, Daniel Peña and J. Rodriguez

1999: Variable deletion conficence regions and bootstrapping in linear regression

Santiago Velilla Cerdan

1999: Asymptotic inference for monstationary fractionally integrated processes

Juan Dolado and Francesc Marmol

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

Ana Pérez and Esther Ruiz

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

Miguel Delgado, Jose C. Fariñas and Sonia Ruano

1999: Subsampling, symmetrization, and robust interpolation

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

1999: On the asymptotic theory of subsampling

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

1999: Seasonal outliers in time series

Regina Kaiser Remiro and Agustín Maravall

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

Miguel Delgado and 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

Miguel Delgado and Javier Hidalgo

1999: On universal unbiasedness of delta estimators

Miguel Delgado and Jose Vidal-Sanz

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

Lorenzo Pascual, Juan Romo and Esther Ruiz

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

Victor Aguirregabiria and César Alonso-Borrego

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, Juan Romo and Esther Ruiz

1999: Constant coefficient tests for random coefficient regression

Pedro Delicado and Juan Romo

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, Alvaro Escribano and Felipe M. Aparicio

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

Regina Kaiser Remiro and Agustín Maravall

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

Stefan Profit and Stefan Sperlich

1998: Outliers in multivariate time series

Ruey S. Tsay, Daniel Peña and Alan E. Pankratz

1998: Modelling adaptive complex behaviour with an application to the stock markets dynamics

Felipe M. Aparicio

1998: Integration and Backfitting methods in additive models: finite sample properties and comparison

Stefan Sperlich, Wolfgang Hardle and Oliver Linton

1998: Finite sample nonparametric inference and large sample efficiency

Joseph P. Romano and Michael Wolf

1998: Subsampling confidence intervals for the autoregressive root

Joseph P. Romano and Michael Wolf

1998: Significance testing in nonparametric regression base on the bootstrap

Miguel Delgado and Wenceslao González-Manteiga

1998: The probability of non-purchasing tobacco of a smoker

Daniel Miles

1998: Asymptotic properties for a simulated pseudo maximum likelihood estimator

Olivier Núñez

1998: A beveridge-nelson decomposition for fractionally integrated time series

Miguel A. Ariño and Francesc Marmol

1998: Heterogeneity and model uncertainty in bayesian regression models

A. Justel and Daniel Peña

1998: Bootstraping cointegration tests under structural co-breaks: a robust extended ECM test

Miguel A. Arranz and Alvaro Escribano

1998: A nonparametric test for serial independence of errors in linear regression

Miguel Delgado and Juan Mora

1998: Consistent specification testing of stationary processes with long-range dependence: asymptotic and bootstrap tests

Miguel Delgado and Javier Hidalgo

1998: Robust estimation of structural break points

Inmaculada Fiteni

1998: Out-of-sample forecast errors in misspecified perturbed long memory processes

Francesc Marmol and Miguel A. Arranz

1998: Asymptotic and bootstrap specification tests of nonlinear in variable econometric models

Miguel Delgado, Manuel A. Domínguez and Pascal Lavergne

1998: FM-OLS estimation of cointegrating relationships among nonstationary fractionally integrated processes

Juan Dolado and Francesc Marmol

1998: Searching for fractional evidence using combined unit root tests

Francesc Marmol

1998: Near observational equivalence and fractionally integrated processes

Francesc Marmol and Juan Reboredo

1998: Input cost, capacity utilization and substitution in the short run

Miguel Delgado, Jordi Jaumandreu and Ana Martín Marcos

1998: A nonlinear model for the investment function in Spain

Eva Senra and Antoni Espasa

1998: Modelling nonlinearities in GDP. Some diferences between us and spanish data

José Manuel Martínez and Antoni Espasa

1998: Detection and estimation of structural changes and ouliers in unobserved components

Regina Kaiser Remiro

1998: Detection of outlier patches in autoregressive time series

A. Justel, Daniel Peña and Ruey S. Tsay

1998: The correlogram of a long memory process plus a simple noise

Clive Granger and Francesc Marmol

1998: Local cross validation for spectrum bandwidth choice

Carlos Velasco

1998: Non-stationary log-periodogram regression

Carlos Velasco

1998: Non-Gaussian log-periodogram regression

Carlos Velasco

1998: Detrending procedures and cointegration testing: ECM tests under structural breaks

Miguel A. Arranz and Alvaro Escribano

1998: Fractional cointegrating regressions in the presence of linear time trends

Uwe Hassler and Francesc Marmol

1998: Gaussian semiparametric estimation of non-stationary time series

Carlos Velasco

1998: A characterization of cointegrating relationships using induced-order statistics

Felipe M. Aparicio and Alvaro Escribano

1998: Cointegration testing using the ranges

Felipe M. Aparicio and Alvaro Escribano