Unit Roots and Cointegrating Matrix Estimation using Subspace Methods

We propose a new procedure to detect unit roots based on subspace methods. It has three main original features. First, the same method can be applied to single or multiple time series. Second, it employs a flexible family of information criteria, which loss functions can be adapted to the statistical properties of the data. Last, it does not require the specification of a stochastic process for the series analyzed. Also, we provide a consistent estimator of the cointegrating rank and the cointegrating matrix. Simulation exercises show that the procedure has good finite sample properties. An example illustrates its application to real time series.State-space models, subspace methods, unit roots, cointegration.

ESTIMATING THE SYSTEM ORDER BY SUBSPACE METHODS

This paper discusses how to determine the order of a state-space model. To do so, we start by revising existing approaches and find in them three basic shortcomings: i) some of them have a poor performance in short samples, ii) most of them are not robust and iii) none of them can accommodate seasonality. We tackle the first two issues by proposing new and refined criteria. The third issue is dealt with by decomposing the system into regular and seasonal sub-systems. The performance of all the procedures considered is analyzed through Monte Carlo simulations.

Forecasting Spanish unemployment with Google Trends and dimension reduction techniques

This paper presents a method to improve the one-step-ahead forecasts of the Spanish unemployment monthly series. To do so, we use a large number of potential explanatory variables extracted from searches in Google (Google Trends tool). Two different dimension reduction techniques are implemented to decide how to combine the explanatory variables or which ones to use. The results reveal an increase in predictive accuracy of 10-25%, depending on the dimension reduction method employed. A deep robustness analysis confirms this findings, as well as the relevance of using a large amount of Google queries together with a dimension reduction technique, when no prior information on which are the most informative queries is available

TF-MIDAS: a transfer function based mixed-frequency model

This paper tackles the mixed-frequency modeling problem from a new perspective. Instead of drawing upon the common distributed lag polynomial model, we use a transfer function representation to develop a new type of models, named TF-MIDAS. We derive the theoretical TF-MIDAS implied by the high-frequency VARMA family models for two common aggregation schemes, flow and stock. This exact correspondence leads to potential gains in terms of nowcasting and forecasting performance against the current alternatives. The estimation of the model proposed is also addressed via its state space equivalent form. A Monte Carlo simulation exercise confirms that TF-MIDAS beats U-MIDAS models (its natural competitor) in terms of out-of-sample nowcasting performance for several data generating high-frequency processes

Prima de riesgo y volatilidad con un modelo GARCH-M

En este trabajo se estudia la relación existente entre la prima de riesgo y la volatilidad diarias en el Índice General de la Bolsa de Madrid desde Octubre de 1990 hasta Noviembre de 2001. En una primera parte se construye la serie prima de riesgo diaria, con la que se trabaja, y se realizan una serie de contrastes que ponen de manifiesto la posible existencia de un modelo GARCH-M. El análisis econométrico nos revela la existencia de dicha relación, siendo ésta positiva para el período estimado. Los resultados, por tanto, implican una compensación del riesgo en rentabilidad para los inversores del mercado madrileño durante la década de los noventa

Prima de riesgo y volatilidad con un modelo GARCH-M

En este trabajo se estudia la relación existente entre la prima de riesgo y la volatilidad diarias en el Índice General de la Bolsa de Madrid desde Octubre de 1990 hasta Noviembre de 2001. En una primera parte se construye la serie prima de riesgo diaria, con la que se trabaja, y se realizan una serie de contrastes que ponen de manifiesto la posible existencia de un modelo GARCH-M. El análisis econométrico nos revela la existencia de dicha relación, siendo ésta positiva para el período estimado. Los resultados, por tanto, implican una compensación del riesgo en rentabilidad para los inversores del mercado madrileño durante la década de los noventa

Analisis Cualitativo del salario por hora en España

El proposito de este articulo es explicar la ganancia en unidades monetarias por hora trabajada en funcion de las caracteristicas de los individuos. Utilizando una encuesta del Instituto Nacional de Estadistica del año 1995, y un modelo probit multinomial ordenado estimamos la probabilidad que cada caracteristica ejerce sobre la ganancia por hora. Los resultados nos revelan interesantes conclusiones acerca de las caracteristicas con mayor influencia sobre la variable explicativa. The purpose of this paper is to explain the earnings - in monetary units by worked hour- through the individuals traits. Using an inquiry from the Spanish Statistical Office made in 1995, and an ordered multinomial probit model, we estimate the probability of each characteristic over the hourly earnings. Results present important conclusions concerning which individual traits have more influence over the explained variable.Probit, multinomial ordenado, salario

EMPIRICAL EVIDENCE FOR A MONEY DEMAND FUNCTION: A PANEL DATA ANALYSIS OF 27 COUNTRIES IN 1988-98.

The purpose of this paper is to estimate the money demand function of Cagan (1956) using a panel data set covering 27 countries with different economic levels over the period 1988-98. The static fixed effects and the dynamic fixed effects reveal that a money demand equation exists. However, in contrast to the theory proposed by Cagan, estimates of the output elasticity of money demand are in the range from 0.18 to 0.20.Money demand, Inflation, Panel data, Dynamic fixed effects

La gestión logística de la empresa Comercializadora de Productos Universales de Pinar del Río

This work has been developed at the Universal Product Trading Company of Pinar del Rio. It aimed to analyze the performance of the logistics system of the company and the valuation of the fulfillment of its mission in terms of development of the regions where it operates. To achieve development work has made a diagnosis of actions integrated logistics company. At work it has been demonstrated that the company has a logistics system structured according to their characteristics and mission. However objective and subjective reasons do not work properly, thus affecting the performance of their tasks.El presente trabajo se ha desarrollado en la Empresa Comercializadora de productos Universales de Pinar del Río. Ha tenido como objetivo el analizar el funcionamiento del sistema logístico de dicha empresa y la valoración del cumplimiento de su misión en función del desarrollo de los territorios donde opera. Para lograr el desarrollo del trabajo se ha realizado un diagnóstico del accionar logístico integral de la empresa. En el trabajo se ha podido demostrar que la empresa tiene estructurado un sistema logístico en función de sus características y de su misión. No obstante razones objetivas y subjetivas hacen que no funcione adecuadamente, afectando por tanto el cumplimiento de su misión

La gestión logística de la empresa Comercializadora de Productos Universales de Pinar del Río y su incidencia en el desarrollo de los territorios

This work has been developed at the Universal Product Trading Company of Pinar del Rio. It aimed to analyze the performance of the logistics system of the company and the valuation of the fulfillment of its mission in terms of development of the regions where it operates. To achieve development work has made a diagnosis of actions integrated logistics company. At work it has been demonstrated that the company has a logistics system structured according to their characteristics and mission. However objective and subjective reasons do not work properly, thus affecting the performance of their tasks.El presente trabajo se ha desarrollado en la Empresa Comercializadora de productos Universales de Pinar del Río. Ha tenido como objetivo el analizar el funcionamiento del sistema logístico de dicha empresa y la valoración del cumplimiento de su misión en función del desarrollo de los territorios donde opera. Para lograr el desarrollo del trabajo se ha realizado un diagnóstico del accionar logístico integral de la empresa. En el trabajo se ha podido demostrar que la empresa tiene estructurado un sistema logístico en función de sus características y de su misión. No obstante razones objetivas y subjetivas hacen que no funcione adecuadamente, afectando por tanto el cumplimiento de su misión