We consider the issue of Block Bootstrap methods in processes that exhibit strong dependence. The main difficulty is to transform the series in such way that implementation of these techniques can provide an accurate approximation to the true distribution of the test statistic under...

This paper proposes a novel and flexible framework to estimate autoregressive models with time-varying parameters. Our setup nests various adaptive algorithms that are commonly used in the macroeconometric literature, such as learning-expectations and forgetting-factor algorithms. These are...

This paper describes a methodology for implementing bidirectional frequency-selective filters in cases where the data sequence is short and nonstationary. A simple method is proposed for dealing with the start-up problem. The method has a firm theoretical basis and it is computationally efficient.

A regime switching model in continuous time is introduced where a variety of jumps are allowed in addition to the diffusive component. The characteristic function of the process is derived in closed form, and is subsequently employed to create the likelihood function. In addition, standard...

The Wiener-Kolmogorov signal extraction filters, which are widely used in econometric analysis, are constructed on the basis of statistical models of the processes generating the data. In this paper, such models are used mainly as heuristic devices that are to be specified in whichever ways are...

In this paper, we analyse anew the relationship between aggregate income and consumption in the United Kingdom. Our analysis entails a close examination of the structure of the data, for which we employ a variety of spectral methods which depend on the concepts of Fourier analysis. We discover...

An account is given of recursive regression and of Kalman filtering which gathers the important results and the ideas that lie behind them within a small compass. It emphasises the areas in which econometricians have made contributions, which include the methods for handling the initial-value...

This paper gives an account of some techniques for designing recursive frequency-selective filters which can be applied to data sequences of limited duration which may be nonstationary. The designs are based on the Wiener-Kolmogorov theory of signal extraction which employs a statistical model...

In this paper, we portray the essential features of the finite-sample signal extraction problem in both the stationary and the nonstationary cases. The computational procedures can be simplified in the light of our analysis. An important outcome of the analysis is a demonstration that the...

This paper sets forth some of the salient results in the algebra of circulant matrices which can be used in time-series analysis. It provides easy derivations of some results that are central to the analysis of statistical periodograms and empirical spectral density functions. A statistical test...