We study the performance of different modelling strategies for 969 and 600 monthly price indexes disaggregated by sectors and geographical areas in Spain, regions, and in the EA12, countries, in order to obtain a detailed picture of inflation and relative sectoral prices through geographical...

The objective of this paper is to model and forecast all the components of a macro orbusiness variable. Our contribution concerns cases with a large number (hundreds) ofcomponents where multivariate approaches are not feasible. We extend in several directions the pairwise approach originally...

We analyze how cyclical synchronization in the EMU evolved since the onset of the current financial crisis. The standard measures of cyclical correlation suggest that while the cycle of the euro area became more aligned with the cycles of other developed economies, the EMU itself apparently...

Poverty maps are an important source of information on the regional distribution of poverty and are currently used to support regional policy making and to allocate funds to local jurisdictions. But obtaining accurate poverty maps at low levels of disaggregation is not straightforward because of...

This paper estimates the causal impact of investment in information andcommunication technologies (ICT) on student performances in mathematics asmeasured in the Program for International Student Assessment (PISA) 2012 for Spain.To do this we apply a new methodology in this context known as...

The comparison of the means of two independent samples is one of the most popular problems in real-world data analysis. In the multivariate context, two-sample Hotelling's T² frequently used to test the equality of means of two independent Gaussian random samples assuming either the same or a...

In the context of Dynamic Factor Models (DFM), we compare point and interval estimates of the underlying unobserved factors extracted using small and big-data procedures. Our paper differs from previous works in the related literature in several ways. First, we focus on factor extraction rather...

In economics, insurance and finance, value at risk (VaR) is a widely used measure of the risk of loss on a specific portfolio of financial assets. For a given portfolio, time horizon, and probability alfa, the 100alfa% VaR is defined as a threshold loss value, such that the probability that the...