In regression analysis, it is frequently required to transform the dependent variable in order to obtain additivity and normal errors with constant variance. Box and Cox (1964) proposed a parametric power transformation based on the assumption of normality with the aim to achieve these goals....

This paper elaborates on the alternative measure of persistence recently suggested in Marques (2004), which is based on the idea of mean reversion. A formal distinction between the “unconditional probability of a given process not crossing its mean in period t” and its estimator, is made...

This paper elaborates on the alternative measure of persistence recently suggested in Marques (2004), which is based on the idea of mean reversion. A formal distinction between the “unconditional probability of a given process not crossing its mean in period t” and its estimator, is made...

This paper suggests a new scalar measure of persistence together with a companion estimator, which has the advantage of not requiring the specification and estimation of a model for the series under investigation. The statistical properties of the companion estimator are established, which allow...