An econometric model represents an important tool for simulating the principalmechanisms of economic systems. This could be applied at different scales, namely regional,national and international. When approaching this research field it should be kept in mind,permanently, that macroeconomic...

While there is a wide consensus in using survey weights when estimating population parameters, it is not clear what to do when using survey data for analytic purposes (i.e. with the objective of making inference about model parameters). In the model-based framework (MB), under the hypothesis...

The paper tests whether ex ante deviations from Uncovered Interest Rate Parity correspond to default risk premium. Using an automated model selection criteria and data for Brazil (from november 2001 until december 2007), we found that deviations are corre

Previous literature has studied the empirical characteristics of European Union Allowances (EUAs) and Certified Emissions Reductions (CERs) time series by using vector autoregression, impulse response function, and cointegration analysis (Chevallier (2010)). This paper extends the analysis by...

This paper uses a Cholesky Factorization in a var analysis to investigate the relative importance of foreign and domestic shocks in the Venezuelan economy during the 1960:i- 2004:ii period. The economy is assumed to be driven by foreign (U. S. gdp and oil prices) and domestic (exchange rate,...

Motivated by economic-theory concepts—the Fisher hypothesis and the theory of the term structure—we consider a small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short-term interest rates. The set includes vector...

We analyse the Generalised Hyperbolic distribution as a model for fat tails and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We provide a standardised version of this distribution, obtain analytical expressions for the log-likelihood score, and explain how...

We present a new composite leading indicator of economic activity in mainland China, es-timated using a dynamic factor model. Our leading indicator is constructed from three se-ries: exports, a real estate climate index, and the Shanghai Stock Exchange index. These series are found to share a...

Structural vector-autoregressive models are potentially very useful tools for guiding both macro- and microeconomic policy. In this paper, we present a recently developed method for exploiting non-Gaussianity in the data for estimating such models, with the aim of capturing the causal structure...