Many time series in diverse fields have been found to exhibit long memory. This paper analyzes the behavior of some of the most used tests for long memory: the R/S or rescaled R/S, the GPH (Geweke and Porter-Hudak) and the DFA (Detrended Fluctuation Analysis). Some of these tests exhibit size...

This paper proposes Lagrange Multiplier based panel unit root tests allowing for structural breaks through simple extensions of existing group mean and combination tests. The proposed tests are more general than those previously suggested. They consider potential breaks in the intercept, in the...

In time series analysis, tests for independence, symmetry, and goodness-of-fit based on divergence measures, such as the Kullback-Leibler divergence or Hellinger distance are currently receiving much interest.We consider replacing the divergence measures in these tests by kernel-based positive...

The paper addresses a problem in a frequently used nonparametric test for Granger causality (Hiemstra and Jones, 1994). Some examples suffice to show that the equality tested in general is not an implication of the null hypothesis of conditional independence. Upon deriving the asymptotic bias we...

This paper describes and analyses the use of the Filtered Historical Simulation algorithm in pricing spread options. Spread options are contracts whose payoff depends on the price difference (spread) between two or more underlying assets at a future date. Such kind of options are written in the...

This note describes ParallelKnoppix, a bootable CD that allows econometricians with average knowledge of computers to create and begin using a high performance computing cluster for parallel computing in very little time. The computers used may be heterogeneous machines, and clusters of up to...