Recent work in the macroeconometric literature considers the problem of summarising efficiently a large set of variables and using this summary for a variety of purposes including forecasting. Work in this field has been carried out in a series of recent papers. This paper provides an...

Friedman's `plucking' model, in which output cannot exceed a ceiling level but is occasionally plucked downward by recessions, is tested using Kim and Nelson's formal econometric specification on output data from the G-7 countries. Considerable support for the model is obtained, leading us to...

We consider interest rate models of Heath-Jarrow-Morton type where the forward rates are driven by a multidimensional Wiener process, and where the volatility structure is allowed to be a smooth functional of the present forward rate curve. In a recent paper [3], Björk and Svensson give...

This paper is concerned with the problem of robust stability of linear dynamic systems with structured uncertainty by means of ellipsoidal set-theoretic approach. In this paper, the uncertainty in the physical parameters is expressed in terms of an ellipsoidal set in appropriate vector space....

In this research note we propose a latent variable model in the spirit of Israilevich and Kuttner (1993) to measure regional manufacturing production. In order to test the validity of the proposed methodology, we apply it for those Spanish regions that have a direct quantitative index. The...

We investigate the construction of more precise estimates of a collection of population means using information about a related variable in the context of repeated sample surveys. The method is illustrated using poll results concerning presidential approval rating (our related variable is...

Two sources of asymmetry in the Phillips curve are considered: the "capacity constraint hypothesis" and downward rigidity on wages and/or prices. The short run trade-off between inflation changes and the unemployment gap is modeled in a state-space framework that allows for time variation in...

The deficit existent in our country in order of the available of quantitative indicators to made a regional industrial activity conjuncture analysis have initiated a discussion in different forums about which is the best methodology for elaborating indicators of this characteristics. In this...