Hansen and Seo (2002) outline procedures to test for threshold cointegration, and to estimate a bi-variate model. However, in their conclusion they note that future research will have to find a way of estimating larger systems with multiple cointegrating vectors. This paper proposes a new...

In this paper, we analyze the possible confusion in terms of long memory behavior of the autocorrelation function of a Markov switching model. Such a model is known to have a short memory behavior. Analyzing the value of sum of the transition probabilities and the number of switches inside such...

Standard economic models based on rational expectations and homogeneity have problems explaining the complex and volatile nature of financial markets. Recently, boundedly rational and heterogeneous agent models have been developed and simulated returns are found to exhibit various stylized...

Os principais determinantes da variação da inflação no período 1954-95 parecem ser a inflação externa (ou a sua variação) e a variação da taxa de câmbio efectiva do escudo. Verifica-se uma relação de longo prazo entre a taxa de inflação e a taxa de variação dos custos...

O estudo das causas da inflação portuguesa no período 1954-95 com base em dados anuais, através da abordagem de Johansen permite-nos concluir que a variação da inflação portuguesa é essencialmente determinada pela variação da inflação externa e pela variação da taxa de câmbio...

Modern economic theories explain differences in productivity and economic growth across countries by differences in political and economic institutions, and differences in culture, geographical location, policies, and laws. The success of any of these theories in explaining the gap in...

A methodology to calibrate multifactor interest rate model for transition countries is proposed. The usual methodology of calibration with implied volatility cannot be used as there are no markets for regularly traded derivatives. The existence of such a markets is essential for this...

A estimação da relação entre os custos unitários de trabalho e a taxa de desemprego no período 1954-1995 com base em dados anuais, através da abordagem de Johansen, permite-nos concluir que a variação dos custos unitários de trabalho é função decrescente da variação da taxa de...

This paper introduces an easy to follow method for continuous time model estimation. It serves as an introduction on how to convert a state space model from continuous time to discrete time, how to decompose a hybrid stochastic model into a trend model plus a noise model, how to estimate the...