DES - Working Papers. Statistics and Econometrics. WS

From Universidad Carlos III de Madrid. Departamento de Estadística
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1998: Outliers in multivariate time series

Ruey S. Tsay 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

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

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

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

Miguel A. Arranz

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

Juan Mora

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

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

Manuel A. Domínguez and Pascal Lavergne

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

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

Jordi Jaumandreu and Ana Martín Marcos

1998: A nonlinear model for the investment function in Spain

Eva Senra

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

José Manuel Martínez

1998: Detection of outlier patches in autoregressive time series

A. Justel and Ruey S. Tsay

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

Clive Granger and Francesc Marmol

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

Miguel A. Arranz

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

Uwe Hassler and Francesc Marmol

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

Felipe M. Aparicio

1998: Cointegration testing using the ranges

Felipe M. Aparicio

1997: Estimating Binary choice models from cohort data

M. Dolores Collado

1997: Eigenstructure of nonstationary factor models

Pilar Poncela

1997: The identification of multiple outliers in arima models

María Jesús Sánchez

1997: Measuring intervention effects on multiplie time series subjected to linear restrictions: A Banking Example

Victor M. Guerrero and Pilar Poncela

1997: Semiparametric estimation and testing in models of adverse selection, with an aplication to environmental regulation

Pascal Lavergne and Alban Thomas

1997: Searching for linear and nonlinear cointegration: a new approach

Felipe M. Aparicio

1997: Improved testing and specification of smooth transition regression models

Oscar Jorda

1997: Testing nonlinearity: decision rules for selecting between logistic and exponential star models

Oscar Jorda

1997: On robust partial least square (pls) methods

J.A.G. Torrubias and Rosario Romera

1997: Threshold unit root models

Martin Gonzalez-Rozada

1997: Data graduation based on statistical time series methods

Victor M. Guerrero, Rodrigo Juárez and Pilar Poncela

1997: Consistent specification testing of quantile regression models

Manuel A. Domínguez

1997: Bootstrap tests for unit roots based on lad estimation

Marta Moreno

1997: Nonparametric checks for count data models: an application to demand for health care in Spain

Begoña Álvarez

1997: Monte Carlo evidence on the power of the Durbin-Watson test against nonsense relationships

Francesc Marmol and Juan Reboredo

1997: Information-theoretic analysis of seral dependence and cointegration

Felipe M. Aparicio

1997: ECM tests for cointegration in a single equation framework

Anindya Banerjee and Ricardo Mestre

1997: Nonlinear error correction models

Santiago Mira

1997: Nonlinear cointegration with mixing errors

Santiago Mira

1997: On the properties of the Dickey-Pantula test against fractional alternatives

Francesc Marmol

1997: Missing observations in ARIMA models: skipping strategy versus additive outlier approach

Víctor Gómez and Agustín Maravall

1997: Identification of point-mass in multivariate samples

Jesús Juan and Francisco J. Prieto

1997: Robust covariance matrix estimation and multivariate outlier detection

Francisco J. Prieto

1997: Spurius regression theory with nonstationary fractionally integrated processes

Francesc Marmol

1997: Compound key word generation from document databases using a hierarchical clustering art model

Alberto Muñoz

1997: Fractional integration versus trend stationary in time series analysis

Francesc Marmol