The objective of this article is to compare the size and power properties of two modifications of the KPSS test of Kwiatkowski <italic>et al</italic>. (1992) proposed by Sul <italic>et al</italic>. (2005) and by Harris <italic>et al</italic>. (2007), using Monte Carlo simulations, in order to decide which version to use in applied research. The...

In this paper the behaviour of various non-nested hypothesis testing procedures are studied, namely the J and JA tests and the same bootstrap-adjusted tests, using graphical methods. These methods are the P value plot, the P value discrepancy plot and the size-power graph. The size and power of...

The main objective of this letter is to compare two concepts of the power of a test developed in the literature on non-nested hypotheses. Using Monte Carlo techniques it is shown that both definitions of power are asymptotically equivalent, but for small samples they differ in some cases very...

The European Union Emissions Trading Scheme (EU ETS) is the first and largest international scheme for the trading of greenhouse gas emission allowances (European Union Allowances (EUA)). Considering that the global economic crisis is hurting corporate profits, analysing the implications of CO₂...

A semi-parametric Bayesian methodology based on Cox's proportional hazards model is proposed in order to evaluate the efficacy of training programmes offered by the University of Zaragoza (Spain) in the labour market insertion process. To this end, a matched comparison group has been designed in...

A methodology is proposed to select the information set in ARMA-GARCH models in order to forecast the future evolution of an univariate heteroscedastic time series when it is suspected that the DGP is time changing. Using this methodology the stability of the DGP in the Spanish Stock Market is...