The Commonwealth of Virginia abolished parole and reformed sentencing for all felony of-fenders committed on or after January 1, 1995. We examine the impact of this legislationon reported crime rates using different time series approaches. In particular, structuraltime series models are...

This paper considers a simple Continuous Beliefs System (CBS) toinvestigate the effects on price dynamics of several behavioralassumptions: (i) herd behaviour; (ii) a-synchronous updating ofbeliefs; and (iii) heterogeneity in time horizons (memory) amongagents. The recently introduced concept of...

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that stochastic heteroskedastic behaviour in prices can only be modelled correctly when the conditional mean of the time series is properly modelled. In this paper we consider different...

In most instances, the dynamic response of monetary and other policies to shocks is infrequent and lumpy. The same holds for the microeconomic response of some of the most important economic variables, such as investment, labor demand, and prices. We show that the standard practice of estimating...

In this paper a new class of Instrumental Variables estimator for linear processes and in particular ARMA models is developed. Previously, IV estimators based on lagged observations as instruments have been used to account for unmodelled MA(q) errors in the estimation of the AR parameters. Here...

In analysing time series of counts, the need to test for the presence of a dependence structure routinely arises. Suitable tests for this purpose are considered in this paper. Their size and power properties are evaluated under various alternatives taken from the class of INARMA processes. We...

A bootstrap approach to evaluating conditional forecast errors in ARMA models is presented. The key to this method is the derivation of a reverse-time state space model for generating conditional data sets that capture the salient stochastic properties of the observed data series. We demonstrate...

In view of detecting the stochastic non-stationarity in time series, successive Yule-Walker estimates are considered for general seasonal ARIMA models and their asymptotic laws are obtained. This extends results known on least squares estimates for stable-unstable ARMA. Furthermore, these...