This paper discusses the Monte Carlo (MC) design of Gaussian Vector Au- toregressive processes (VAR) for the evalutation of invariant statistics. We focus on the case of cointegrated (CI) I(1) processes, linear and invertible trans- formations and CI rank likelihood ratio (LR) tests. It is found...

This paper proposes a new approach for the specification of multivariate GARCH models for data sets with a potentially large cross-section dimension. The approach exploits the spatial dependence structure associated with asset characteristics, like industrial sectors and capitalization size. We...

In this paper we introduce notions of well-posedness for a vector optimization problem and for a vector variational inequality of differential type, we study their basic properties and we establish the links among them. The proposed concept of well-posedness for a vector optimization problem...

In this paper we study several existing notions of well-posedness for vector optimization problems. We distinguish them into two classes and we establish the hierarchical structure of their relationships. Moreover, we relate vector well-posedness and well-posedness of an appropriate...

This paper analyzes common cycles in I(2) vector autoregressive (VAR) systems. We consider di®erent choices of stationary variables extracted from a VAR, including deviations from equilibria. This extension is based on the equilibrium dynamics representation of the system, introduced in this...

In this paper we consider the vector optimization problem minC f(x), g(x) 2 -K, where f : Rn ! Rm and g : Rn Rp are C0,1 functions and C Rm and K Rp are closed convex cones. We give several notions of solutions (efficiency concepts), among them the notion of a properly efficient point...

This paper proposes a likelihood ratio test for rank-dficiency of a sub- matrix of the cointegrating matrix. Special cases of the test include the one of invalid normalization in systems of cointegrating equations, the feasibility of permanent-transitory decompositions and of subhypotheses...

This note discusses the (dis-)similarities between automated inference and computer-aided decisions, at the interface of econometrics and economics. It is argued that computer-aided decisions are best suited for scientific communication. For the future, the topic of learning is singled out as...

In this paper we deal with a Fritz John type constrained vector optimization problem. In spite that there are many concepts of solutions for an unconstrained vector optimization problem, we show the possibility “to double” the number of concepts when a constrained problem is considered. In...