Recent tests for the convergence hypothesis derive from regressing average growth rates on initial levels: a negative initial coefficient is interpreted as convergence. These tests turn out to be plagued by Galton's classical fallacy of regression towards the mean. Using a dynamic version of...

This paper examines the implications of treating seasonality as an unobserved component which changes slowly over time. This approach simplifies the specification of dynamic relationships by separating non-seasonal from seasonal factors. We illustrate this approch using the consumption model of...

This paper gives a generalization of an L1-convergence theorem for dependent processes due to Andrews (1988). Among the cases covered by this result are weak laws of large numbers of random sequences {X1} having moments tending to either infinity or zero as t ? ?.

Changes in variance or volatility over time can be modelled using stochastic volatility (SV) models. This approach is based on treating the variance as an unobservable variable, the logarithm of which is modelled as a linear stochastic process, usually an autoregression. Although it is not easy...

A number of important economic time series are recorded on a particular day every week. Seasonal adjustment of such series is difficult because the number of weeks varies between 52 and 53 and the position of the recording day changes from year to year. In addtion certain festivals, most notably...

Smooth nonparametric kernel density and regression estimators are studied when the data is strongly dependent. In particular, we derive Central (and Noncentral) Limit Theorems for the kernel density estimator of a multivariate Gaussian process and infinite-order moving average of an independent...

A test for the presence of a stationary first-order autoregressive process embedded in white noise is constructed so as to be relatively powerful when the autoregressive parameter is close to one. This is done by setting up the autoregression in such a way that it reduces to a constant, instead...

The stylized facts of macroeconomic time series can be presented by fitting structural time series models. Within this framework, we analyze the consequences of the widely used detrending technique popularized by Hodrick and Prescott (1980). It is shown that mechanical detrending based on the...

A sufficiency condition for strong mixing in infinite order moving average processes due to Gorodetski (1977) is extended, showing how smoothness conditions on the marginal distributions can be traded off against summability conditions on the MA coefficients. A version of the theorem is also...

Deletion diagnostics are developed for structural time series models. These show the effect of the deletion of individual observations on residuals and on the estimates of regression parameters. The methods are extended to the transformation of time series through regression on a constructed...