Outlying observations in time series influence parameter estimation and testing procedures, leading to biased estimates and spurious test decisions. Further inference based on these results will be misleading. In this paper the effects of outliers on the performance of ratio-based tests for a...

This paper studies the robust estimation and inference of threshold models with integrated regres- sors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....

Nonparametric unit-root tests are a useful addendum to the tool-box of time-series analysis. They tend to trade off power for enhanced robustness features. We consider combinations of the RURS (seasonal range unit roots) test statistic and a variant of the level-crossings count. This combination...

We consider a nonparametric test for the null of seasonal unit roots in quarterly time series that builds on the RUR (records unit root) test by Aparicio, Escribano, and Sipols. We find that the test concept is more promising than a formalization of visual aids such as plots by quarter. In order...

This paper investigates how classical measurement error and additive outliers influence tests for structural change based on F-statistics. We derive theoretically the impact of general additive disturbances in the regressors on the asymptotic distribution of these tests for structural change ....

In this paper the performance of information criteria and a test against SETAR nonlinearity for outlier contaminated time series are investigated. Additive outliers can seriously influence the properties of the underlying time series and hence of linearity tests, resulting in spurious test...

The problem of optimal decision among unit roots, trend stationarity, and trend stationarity with structural breaks is considered. Each class is represented by a hierarchically random process whose parameters are distributed in a non-informative way. The prior frequency for all three processes...

This paper studies the network structure and fragmentation of the Argentine interbank market. Both the unsecured (CALL) and the secured (REPO) markets are examined. The aim of this study is to understand their actual fragmentation, as well as its potential implications for monetary policy and...

The valuation of options and to a large extent the financial derivatives market require an optimal estimation of the volatility, since this is precisely the variable that is negotiated. We present then a statistical methodology for the estimation of the volatility parameter for an asset using...