Polynomial specifications are widely used, not only in applied economics, but also in epidemiology, physics, political analysis, and psychology, just to mention a few examples. In many cases, the data employed to estimate such estimations are time series that may exhibit stochastic nonstationary...

Polynomial specifications are widely used, not only in applied economics, but also in epidemiology, physics, political analysis and psychology, just to mention a few examples. In many cases, the data employed to estimate such specifications are time series that may exhibit stochastic...

This paper introduces a Bayesian approach in econophysics literature about financial bubbles in order to estimate the most probable time for a financial crash to occur. To this end, we propose using noninformative prior distributions to obtain posterior distributions. Since these distributions...

Las decisiones de otorgamiento de crédito son cruciales en la administración de riesgos. Las instituciones financieras han desarrollado y usado modelos de credit scoring para estandarizar y automatizar las decisiones de crédito, sin embargo, no es común encontrar metodologías para...

This paper analyses the asymptotic and finite sample implications of different types of nonstationary behavior among the dependent and explanatory variables in a linear spurious regression model. We study cases when the nonstationarity in the dependent and explanatory variables is deterministic...

This paper analyses the asymptotic behavior of the Engle-Granger t-test for cointegration when the data include structural breaks, instead of being pure I(1) processes. We find that the test does not possess a limiting distribution, but diverges as the sample size tends to infinity. Calculations...

We investigate the efficiency of the Dickey-Fuller (DF) test as a tool to examine the convergence hypothesis. In doing so, we first describe two possible outcomes, overlooked in previous studies, namely Loose Catching-up and Loose Lagging-behind. Results suggest that this test is useful when the...

We study the hypothesis of convergence amongst Mexican regions since 1940 with special interest in the post-trade liberalization period. A standard time-series convergence test shows that per capita income levels between the capital and the rest of the regions tend to narrow over time. Using the...

This paper analyses the asymptotic and finite sample implications of a mixed nonstationary behavior among the dependent and explanatory variables in a linear spurious regression model. We study the cases when the nonstationarity in the dependent variable is deterministic (stochastic), while the...

This appendix presents an extended explanation for our finding of mean reversion of the real exchange rate to a shifting mean using monthly data for Mexico, 1969-2010. Because such shifts coincide with trade liberalization in Mexico, we conclude that changes in the tradable/nontradable goods...