In this paper we propose a new method to specify linear models for vectors of time series with some convenient properties: First, it provides a unique modeling approach for single and multiple time series, as the same decisions are required in both cases. Second, it is scalable, meaning that it...

This paper discusses how to model and forecast a vector of time series sampled at different frequencies. To this end we first study how aggregation over time affects both, the dynamic components of a time series and their observability, in a multivariate linear framework. We find that the basic...

This paper extends our previous work on grain market integration across Europe and the Americas in the eighteenth and nineteenth centuries (Dobado, García-Hiernaux and Guerrero, 2012). By using the same econometric methodology, we now present: 1) a search for statistical evidence in the East of...