The paper derives an algorithm for computing leave-k-out diagnostics for the detection of patches of outliers for stationary and non-stationary state space models with regression effects. The algorithm is based on a reverse run of the Kalman filter on the smoothing errors and is both efficient...

We show in this article that fractionally integrated univariate models for GDP may lead to a better replication of business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well as by the other short run components of...

Most of the empirical studies dealing with international business cycles have disregarded the credibility issues that play an important role in the decision to join or not a monetary union. Most of empirical applications based on asymmetric shocks have failed to account for these aspects. In...

We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic time series. It is based on Robinson’s (1994) univariate tests and is similar in spirit to the one proposed by Engle and Granger (1987), testing initially the order of integration of the...

How risky are investments in residential real estate? To answer this question, information is needed about the behavior of house prices. The hedonic methodology has become a standard approach for modelling the prices of heterogeneous assets. Although intuitively appealing, it is often criticized...

We introduce and analyse numerical methods for the treatment of inverse problems, based on an adaptive wavelet Galerkin discretization. These methods combine the theoretical advantages of the wavelet-vaguelette decomposition (WVD) in terms of optimally adapting to the unknown smoothness of the...

Teachware is a set of computer software tools for computeraided interactive teaching of certain knowledge elements. The construction of teachware for statistical knowledge is a rather young field since it heavily depends on data structures and graphical interaction possibilities. In this paper...

The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (1994), we show that the series can be specified in terms of I(d) statistical models with d...