We propose a new method to find spatially adaptive smoothing splines. This new method breaks down the interval [0, 1] into p disjoint sub-intervals. Then we define p functional components in [0, 1], which have two importantfeatures. First, the purpose of each of these p components is to estimate...

The authors´ goal was to create a model suitable for measuring organization capital, that is to say a model with high coefficient of determination, in which coefficients of all regressors and the intercept are statistical significant. Three linear regression models for the years 2006, 2007 and...

The theme of unit roots in macroeconomic time series have received a great amount of attention in terms of theoretical and applied research over the last three decades. Since the seminal work by Nelson and Plosser (1982), testing for the presence of a unit root in the time series data has become...

This paper investigates the existence of cointegration and causality between the stock market price indices of Thailand and its major trading partners (Australia, Hong Kong, Indonesia, Japan, Korea, Malaysia, the Philippines, Singapore, Taiwan, the UK and the US), using monthly data spanning...

This thesis develops a new Bayesian approach to structural break modeling. The focuses of the approach are the modeling of in-sample structural breaks and forecasting time series allowing out-of-sample breaks. Our model has some desirable features. First, the number of regimes is not fixed and...

Após a abertura comercial em 1998, grandes mudanças ocorreram no comércio exteriornacional devido sucessivos choques cambiais aos quais a economia foi exposta. A literaturade referência sugere que grandes choques na taxa de câmbio induzem mudanças persistentesna relação entre a taxa de...

This paper tests for PPP in a group of seventeen Latin American (LA) countries by applying fractional integration techniques to real exchange rate series. Compared to earlier studies on these economies, this approach has the advantage of allowing for non-integer values for the degree of...

This paper introduces a multivariate long-memory model with structural breaks. In the proposed framework, time series exhibit possibly fractional orders of integration which are allowed to be different in each subsample. The break date is endogenously determined using a procedure which minimises...

This paper introduces a multivariate long-memory model with structural breaks. In the proposed framework, time series exhibit possibly fractional orders of integration which are allowed to be different in each subsample. The break date is endogenously determined using a procedure which minimises...

There is continuing debate in the US over full introduction of electronic trading in those index futures contracts that are still traded at the CME via open outcry. Since the late 1990s major international exchanges trading index futures contracts have converted to full electronic trading....