Documentos de Trabajo publicados en 1995

• Lista de documentos de trabajo.
• Documentos de trabajo de otros años: 1993, 1994, 1996, 1997, 1998,1999 ,2000,2001 ,2002 en adelante

Actividades del ICAE

Nota: Pulsando sobre el título se accede al resumen del trabajo. Pulsando sobre el autor se puede enviar un mensaje de correo electrónico.

"Cointegration, Error Correction Models and Forecasting: The U.K. Demand for Money". Antonio García Ferrer y Alfonso Novales (publicado en Journal of Forecasting, Vol. 1)

We analyze the ability of recent methods proposed for the specification and estimation of relationships among nonstationary variables, to overcome the traditional instability of empirical money demand functions. We use a 1964-1982 sample for the UK which has been widely used in the literature. The forecasting ability of the resulting model is then compared with that alternative, reduced form specifications.

"A Corrected Algorithm for Computing the Theoretical Autocovariance Matrices of a Vector ARMA Model". José Alberto Mauricio.

The algorithm of Kohn and Ansley (1982) is reconsidered here, in order to correct several implementation errors concerning the construction of the linear equations that must be solved for computing the theoretical autocovariance matrices of a vector ARMA model. This note presents a concise description of the corrected algorithm.

"A General Test for Seasonality". Rafael Flores y Alfonso Novales.

We propose a test for multivariate seasonality. Starting from a multivariate model for the seasons, some constraints moust hold both, on the covariance matrix of the innovations, as well as among coefficients across equations for a univariate representati of seasonality to be apropriate. Applied to a set of U.K. macroeconomic variable, our test shows that a multivariate representation of seasonality should generally be preferred.

"A General Test for Univariate Seasonality". Rafael Flores y Alfonso Novales (publicado en Journal of Time Series Analysis, Vol. 18, 1997).

We propose a general test for univariate seasonality. Starting from a multivariate model for the seasons, some constraints must hold both, on the covariance matrix of the innovations, as well as among coefficients across equations, for a univariate representation of seasonality to be appropriate. Appied to a set of 23 U.K. macroeconomic variables, our test shows that a multivariate representation of seasonality should be prrefered in at least 8 cases. That introduces a serious questioning of standard, univariate filters to estimate the seasonal component in some economic time series, and suggest the possibility of a more complex, but richer way of characterizing relationships among seasonal economic variables.

"A Varma Approach for Estimating Term Premia: The Case of the Spanish Interbank Money Market". Rafael Flores de Frutos (publicado en Applied Financial Economics, Vol. 5, 1995).

This paper highlights the shortcomings of the standard approach of estimating risk premia in the term structure of interest rates. In order to overcome these limitations, a VARMA model based approach is proposed. This procedure is illustrated with the estimation of the term premium implicit in the 30-day interest rate with regard to the 15-day rate, in the Spanish interbank money market.

"Outliers in Binary Choice Models". Mercedes Gracia-Díez y Gregorio R. Serrano.

This paper focuses on the problem of outliers in binary choice models. It is show that identifying outliers as observation with a residual close to one in absolute value might be misleading and outlier detection procedures should rely on influence measures on the fit. Two scalar measures are derived to evaluate the influence of each observation as well as the influence of a group of observations on i) the vector of estimated parameters and ii) the vector of estimated probabilities. Also, the method proposed by Peña and Yohai (1995) to treat the problem of masking in linear models has been generalized to the case of binary choice models. A small Monte Carlo study analyzes the performance of all measures and an empirical application presents a diagnostic strategy for detection of outliers.

Actividades del ICAE

Instituto Complutense de Análisis Económico