We address the problem of selecting the common factors that are relevant for forecasting macroeconomic variables. In economic forecasting using diffusion indexes the factors are ordered, according to their importance, in terms of relative variability, and are the same for each variable to...

A new non-causality test based on the notion of distance between ARMA models is proposed in this paper. The advantage of this test is that it can be used in possible integrated and cointegrated systems, without pre-testing for unit roots and cointegration. The Monte Carlo experiments indicate...

This paper explores the idea of regime switching as a new methodological approach to bring new insights into the natural resource curse hypothesis in the case of oil exporting countries. The basic idea is that when a threshold of oil dependence is passed, the relationship between economic growth...