Fixed coecients State-Space and VARMAX models are equivalent, meaning that they are able to represent the same linear dynamics, being indistinguishable in terms of overall fit. However, each representation can be specifically adequate for certain uses, so it is relevant to be able to choose...

En este trabajo se propone un nuevo procedimiento para detectar ra´ıces unitarias basado en m´etodos de subespacios. Nuestra propuesta tiene tres aspectos originales principales. Primero, la misma metodología puede aplicarse a series individuales o a vectores de series temporales. Segundo,...

This paper shows how to compute the in-sample effect of exogenous inputs on the endogenous variables in any linear model written in state-space form. Estimating this component may be, either interesting by itself, or a previous step before decomposing a time series into trend, cycle, seasonal...

This paper shows that price level trends in many of the EMU countries evolve with different patterns and that these patterns will not converge in the long-run. We propose that the hypothesis of price convergence should be evaluated and tested employing the relative prices. To this aim, we: (i)...

Computing the gaussian likelihood for a nonstationary state-space model is a difficult problem which has been tackled by the literature using two main strategies: data transformation and diffuse likelihood. The data transformation approach is cumbersome, as it requires nonstandard filtering. On...

We propose a new procedure to detect unit roots based on subspace methods. It has three main original features. First, the same method can be applied to single or multiple time series. Second, it employs a flexible family of information criteria, which loss functions can be adapted to the...

Oil price showed sharp fluctuations in recent years which revived the interest in its effect on inflation. In this paper, we discuss the relationship between oil price and inflation in Spain, at national and regional levels, and making the distinction between energy and non-energy inflation. To...

Oil price showed sharp fluctuations in recent years which have revived the interest on its effect on inflation rates. In this paper we discuss the relationship between oil price and inflation in Spain. We adjust econometric models to predict the effect of oil price shocks on inflation both at...

Oil price showed sharp fluctuations in recent years which have revived the interest on its effect on inflation rates. In this paper we discuss the relationship between oil price and inflation in Spain. We adjust econometric models to predict the effect of oil price shocks on inflation both at...

We develop a theoretical framework that explains the decision-making process of banks concerning the allocation of credit to two sectors: (i) households seeking real estate assets, and (ii) companies requiring capital for consumer goods production. By analyzing the interaction between the credit...