This study examines the Prebisch and Singer hypothesis using a panel of 24 commodity prices from 1900 to 2010. The modelling approach stems from the need to meet two key concerns: (1) the presence of cross-sectional dependence among commodity prices; and (2) the identification of potential...

We calculate the bias of the profile score for the autoregressive parameters p and covariate slopes in the linear model for N x T panel data with p lags of the dependent variable, exogenous covariates, fixed effects, and unrestricted initial observations. The bias is a vector of multivariate...

There is empirical evidence that the introduction of the euro led to a significant increase of perceived inflation in most countries. Such an increase and persistence in the perceived inflation might then have an impact on inflation expectations and other macroeconomic variables. The authors...

An important issue in modelling economic time series is whether key unobserved components representing trends, seasonality and calendar components, are deterministic or evolutive. We address it by applying a recently proposed Bayesian variable selection methodology to an encompassing linear...

This paper shows that the evolution of the level of Mexico real and real per capita output between 1895 and 2008 can be adequately described through a trendstationary model, affected by 4 structural breaks, which occurred at dates that seem to coincide with domestic institutional arrangements,...

In this paper we introduce two general non-parametric first-order stationary time-series models for which marginal (invariant) and transition distributions are expressed as infinite-dimensional mixtures. That feature makes them the first Bayesian stationary fully non-parametric models developed...