This paper presents Rtadf (Right Tail Augmented Dickey-Fuller), an EViews Add-in that facilitates the performance of time series based tests that help detect and date-stamp asset price bubbles. Detection strategy is based on a right-tail variation of the standard Augmented Dickey-Fuller (ADF)...

This paper presents Rtadf (Right Tail Augmented Dickey-Fuller), an EViews Add-in that facilitates the performance of time series based tests that help detect and date-stamp asset price bubbles. Detection strategy is based on a right-tail variation of the standard Augmented Dickey-Fuller (ADF)...

GARCH (1,1) models are widely used for modelling processes with time varying volatility. These include financial time series, which can be particularly heavy tailed. In this paper, we propose a log-transform-based least squares estimator (LSE) for the GARCH (1,1) model. The asymptotic properties...

This paper deals with testing a time series with a structural break in its mean for a unit root when the break date is known. A nonlinear (with respect to coefficients) test equation is used, providing asymptotically efficient estimates. Finite-sample and quasi-asymptotic empirical distributions...

This paper suggests that there was a negative bubble in oil prices in 2014/15, which decreased them beyond the level justified by economic fundamentals. This proposition is corroborated by two sets of bubble detection strategies: the first set consists of tests for financial bubbles, while the...

We address the problem of seasonal adjustment of a nonlinear transformation of the original time series, such as the Box-Cox transformation of a time series measured on a ratio scale, or the Aranda-Ordaz transformation of proportions, which aims at enforcing two essential features: additivity...

The purpose of the study is to analyze the nature of inflation and unemployment rates -in Africa and its regions- allowing cross-sectional dependence among their countries. The paper contributes to the literature assessing the stochastic properties of unemployment and inflation using the...

In this paper we discuss the most recent developments of temporal disaggregation techniques carried out at ISTAT. They concern the extension from static to dynamic autoregressive distributed lag ADL regressions and the change to a state-space framework for the statistical treatment of temporal...

This article is devoted to study the e¤ects of the S-periodical fractional di¤erencing filter (1-L^S)^Dt . To put this e¤ect in evidence, we have derived the periodic auto-covariance functions of two distinct univariate seasonally fractionally di¤erenced periodic models. A multivariate...

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...