In this paper we consider a model with stochastic trend, seasonal and transitory components with the disturbances of the trend and transitory disturbances specified as QGARCH models. We propose to use the differences between the autocorrelations of squares and the squared autocorrelations of the...

This paper is an empirical analysis of the manner in which official interest rates are determined by the Bank of England. We use a nonlinear framework that allow for the separate study of factors affecting the magnitude of positive and negative interest rate changes as well as their...

Assuming a multivariate linear regression model with one random factor, we consider the parameters defined as exponentials of mixed effects, i.e., linear combinations of fixed and random effects. Such parameters are of particular interest in prediction problems where the dependent variable is...

This paper provides empirical evidence that continuous time models with one factor of volatility are, in some circumstances, able to fit the main characteristics of financial data and reports insights about the importance of introducing feedback factors for capturing the strong persistence...

This paper describes a methodology for the simulation of multivariate out of control situations using in-control data. The method is based on finding the independent factors of the variability of the process, and shifting these factors one by one. These shifts are then translated in terms of the...

A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...

We consider the relation between mortality hazards and life expectancy for men and women in the Netherlands and in England. Halving the lifetime mortality hazards increases life expectancy at birth by only 9%.

We show that Dif(ference), see Arellano and Bond (1991), Lev(el), see Arellano and Bover (1995) and Blundell and Bond (1998), or the N(on-)L(inear) moment conditions of Ahn and Schmidt (1995) do not identify the parameters of a first-order autoregressive panel data model when the autoregressive...

Countless test statistics can be written as quadratic forms in certain random vectors, or ratios thereof. Consequently, their distribution has received considerable attention in the literature. Except for a few special cases, no closed-form expression for the cdf exists, and one resorts to...

Earlier analyses of the birth cohorts from 1850 to 1922 from the Historical Sample of the Dutch Population by van Poppel and van Gaalen and Schenk and van Poppel conclude that there is no significant variation of mortality by occupation in those generations. A re-examination of their material...