An important aspect of empirical research based on the vector autoregressive (VAR) model is the choice of the lag order, since all inferences in this model depend on the correct model specification. There have been many studies on how to select the lag order of a nonstationary VAR model subject...

An important aspect of empirical research based on the vector autoregressive (VAR) model is the choice of the lag order, since all inferences in this model depend on the correct model specification. There have been many studies of how to select the lag order of a nonstationary VAR model subject...

A conference titled 'Forecasting in Rio' was held at the Graduate School of Economics of Getulio Vargas Foundation, Rio de Janeiro, Brazil, in July 2008 to focus on most recent developments in forecasting. One of the papers presented during the conference was titled, 'Predictability of Stock...

The mixed autoregressive causal-noncausal model (MAR) has been proposed to estimate economic relationships involving explosive roots in their autoregressive part, as they have stationary forward solutions. In previous work, possible exogenous variables in economic relationships are substituted...

In this paper we use the standard factor models to compose common-factor portfolios by a novel linear transformation extracted from large data sets of asset returns. Although the transformation proposed here retains the basic properties of the usual common factors, some interesting new...