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A nonparametric measure of convergence towards purchasing power parity (repli...
It has been claimed that the deviations from purchasing power parity are highly persistent and have quite long half-lives under the assumption of a linear adjustment of real... -
Temporal aggregation of an ESTAR process: some implications for purchasing po...
Nonlinear models of deviations from PPP have recently provided an important, theoretically well motivated, contribution to the PPP puzzle. Most of these studies use temporally... -
Tests of seasonal integration and cointegration in multivariate unobserved co...
This paper considers tests of seasonal integration and cointegration for multivariate unobserved component models. First, the locally best invariant (LBI) test of the null... -
Estimation of multivariate models for time series of possibly different lengt...
We consider the problem of estimating parametric multivariate density models when unequal amounts of data are available on each variable. We focus in particular on the case that... -
Timing structural change: a conditional probabilistic approach (replication d...
We propose a strategy for assessing structural stability in time-series frameworks when potential change dates are unknown. Existing stability tests are effective in detecting...
