Systems of economic data potentially exhibit a number of common features, which aid both econometric modelling and economic interpretation. This paper surveys a variety of common features and applies the corresponding testing and estimation techniques to systems of macroeconomic time series in...

While body fat is the most accurate measure of obesity, its measurement requires special equipment that can be costly and time consuming to operate. Attention has thus typically focused on the easier to calculate body mass index (BMI). However, the ability of BMI to accurately identify obesity...

This note reconsiders the 'classical' approach to trend estimation and presents a modern treatment of this technique that enables trend filters which incorporate end-effects to be constructed easily and efficiently. The approach is illustrated by estimating recent Northern Hemispheric...

This paper is concerned with the issue of dynamics in financial data and asset pricing models such as the CAPM. A literature review in this area is undertaken and highlights the need for a modern time series econometric approach in asset pricing. Such an approach is discussed and deals with...

This paper investigates the time series and cross-section stability of parameter estimates from the single-index market model, using a UK data set relating to the security prices of parent companies, divesting in the form of a management buyout. A battery of tests of structural stability are...

We investigate how central bank forecasts of GDP growth evolve through time, and how they are adapted in the light of official estimates of actual GDP growth. Using data for 1988-2005, we find that the Federal Open Market Committee (FOMC) has typically adjusted its forecast for growth over the...

The unit root testing within a breaking trend framework for global and hemispheric temperatures of Gay-Garcia, Estrada and Sánchez Clim Chang 94:333–349, <CitationRef CitationID="CR6">2009</CitationRef> is extended in two directions: first, the extended HadCRUT3 temperature series from Brohan et al. J Geophys Res 111:D12106, <CitationRef CitationID="CR1">2006</CitationRef> are...</citationref></citationref>

In an almost unreferenced article Carmichael (1928), writing of the period around the First World War, noted that “During the past twelve years many economic series have undergone what appears to be a permanent change in level.” These are prescient words that are widely applicable today....

The development of the methods of correlation and regression analysis at the turn of the 20th century, led to their use in attempting to identify relationships between economic variables. However, caution was soon expressed that correlating series with ‘secular’ trends was likely to be...