DES - Working Papers. Statistics and Econometrics. WS

From Universidad Carlos III de Madrid. Departamento de Estadística
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1997: Estimating Binary choice models from cohort data

M. Dolores Collado

1997: Eigenstructure of nonstationary factor models

Daniel Peña and Pilar Poncela

1997: The identification of multiple outliers in arima models

María Jesús Sánchez and Daniel Peña

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

Victor M. Guerrero, Daniel Peña 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 and Alvaro Escribano

1997: Improved testing and specification of smooth transition regression models

Alvaro Escribano and Oscar Jorda

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

Alvaro Escribano and 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 and Jesus Gonzalo

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

Miguel Delgado and Manuel A. Domínguez

1997: Bootstrap tests for unit roots based on lad estimation

Marta Moreno and Juan Romo

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

Begoña Álvarez and Miguel Delgado

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 and Alvaro Escribano

1997: Assesing the number of linear components in a general regression problem

Santiago Velilla Cerdan

1997: ECM tests for cointegration in a single equation framework

Anindya Banerjee, Juan Dolado and Ricardo Mestre

1997: Nonlinear error correction models

Alvaro Escribano and Santiago Mira

1997: Nonlinear cointegration with mixing errors

Alvaro Escribano and Santiago Mira

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

Juan Dolado and Francesc Marmol

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

Víctor Gómez, Agustín Maravall and Daniel Peña

1997: Identification of point-mass in multivariate samples

Jesús Juan and Francisco J. Prieto

1997: Robust covariance matrix estimation and multivariate outlier detection

Daniel Peña and 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

1996: A procedure for robust estimation and diagnostics in regression

Daniel Peña and Víctor J. Yohai

1996: Pooling information and forecasting with dynamic factor analysis

Daniel Peña and Pilar Poncela

1996: Session in memoriam of Costas Goutis

Rosario Romera

1996: Stability under contamination of robust regression estimators based on differences of residuals

José Ramón Berrendero Díaz and Juan Romo

1996: Empirical distributions of stock returns: scandinavian securities markets, 1990-95

Felipe M. Aparicio and Javier Estrada

1996: Measuring service quality by linear indicators

Daniel Peña

1996: A simple diagnostic tool for local prior sensitivity

Daniel Peña and Rubén Zamar

1996: Bayesian unmasking in linear models

Ana Justel and Daniel Peña

1996: Nonlinear cointegration and nonlinear error correction

Alvaro Escribano and Santiago Mira

1996: Which univariate time series model predicts quicker a crisis? The Iberia case

Esther Ruiz and Fernando Lorenzo

1996: On the cumulated periodogram goodness-of-fit test in ARMA models

Santiago Velilla Cerdan

1996: The intrinsic bayes factor described by an example

L. R. Pericchi, I. Fiteni and E. Presa

1996: Assessing measurement invariance in questionnaires within latent trait models using item response theory

Alberto Maydeu Olivares, Thomas J. D'Zurilla and Osvaldo Morera

1996: Non-exact present value relations

Jesus Gonzalo and Martín González Rozada

1996: Household characteristics and consumption behaviour: a nonparametric approach

Miguel Delgado and Daniel Miles

1996: A parallel computation approach for solving multistage stochastic network problems

L. F. Escudero, J. L. de la Fuente, C. García and Francisco J. Prieto

1996: Using high-frequency data and time series models to improve yield management

José Ramón Cancelo and Antoni Espasa

1996: Automatic modelling of daily series of economic activity

Antoni Espasa, José Ramón Cancelo and J. Manuel Revuelta

1996: Nonparametric estimation of a mixing density via the kernel method

Constantinos Goutis

1996: On the bootstrap in misspecified regression models

Santiago Velilla Cerdan

1996: Trimming frequencies in log-periodogram regression of long memory time series

Cristina Martínez and Santiago Velilla Cerdan

1996: A systematic framework for analyzing the dynamic effects of permanent and transitory shocks

Jesus Gonzalo and Serena Ng

1996: On the robustness of cointegration tests when series are fractionally integrated

Jesus Gonzalo and Tae Hwy Lee

1996: P-values for non-standard distributions with an application to the DF test

Jerome Adda and Jesus Gonzalo

1996: Multicointegration and present value relations

Tom Engsted, Jesus Gonzalo and Niels Haldrup