We propose an infinitesimal dispersion index for Markov counting processes. We show that, under standard moment existence conditions, a process is infinitesimally (over-) equi-dispersed if, and only if, it is simple (compound), i.e. it increases in jumps of one (or more) unit(s), even though...

El cálculo de predicciones puntuales junto con su incertidumbre en forma de intervalo es, en la mayoría de aplicaciones, insuficiente. Especialmente cuando estemos asumiendo no linealidad en los datos, puesto que en estos casos, podrían existir incluso cambios en la distribución. Por ello...

Testing for multivariate cointegration when the data exhibit structural breaks is a problem that is encountered frequently in empirical economic analysis. The standard tests must be modified in this situation, and the asymptotic distributions of the test statistics change accordingly. We supply...

This Working Paper presents some preliminary results for a new goodness-of- t method for VARMA(p,q) models. Relations between least squares residuals and true errors are re-examined, and a new family of statistics is proposed. A new goodness-of- t process is also suggested, that can be seen as...

In this paper we consider the asymptotic properties of the Instrumental Variables (IV) estimator of the parameters in a linear regression model with some random regressors, and other regressors that are dummy variables. The latter have the special property that the number of non-zero values is...

Interpreted as an instrumental variables estimator, nonlinear least squares constructs its instruments optimally from the explanatory variables using the nonlinear specification of the regression function. This has implications for the use of GMM estimators in nonlinear regression models,...

We derive analytic expressions for the biases, to O(n-1), of the maximum likelihood estimators of the parameters of the generalized Pareto distribution. Using these expressions to bias-correct the estimators is found to be extremely effective in terms of bias reduction, and can also result in a...

In this work, a new variant of the Capacitated Vehicle Routing Problem (CVRP) is presented where the vehicles cannot perform any route leg longer than a given length L (although the routes can be longer). Thus, once a route leg length is close to L, the vehicle must go to a stop node to end the...

This paper focuses on providing consistent forecasts for an aggregate economic indicator, such as a consumer price index, and all its components, and on showing that the indirect forecast of the aggregate is at least as accurate as the direct forecast. The procedure developed is a disaggregated...

Shrinkage estimators is an area widely studied in statistics. In this paper, we contemplate the role of shrinkage estimators on the construction of the investor's portfolio. We study the performance of shrinking the sample moments to estimate portfolio weights as well as the performance of...