127,077 research outputs found
Range Unit Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers
No full textSince the seminal paper by Dickey and Fuller in 1979, unit-root tests have conditioned the standard approaches to analysing time series with strong serial dependence in mean behaviour, the focus being placed on the detection of eventual unit roots in an autoregressive model fitted to the series. In this paper, we propose a completely different method to test for the type of long-wave patterns observed not only in unit-root time series but also in series following more complex data-generating mechanisms. To this end, our testing device analyses the unit-root persistence exhibited by the data while imposing very few constraints on the generating mechanism. We call our device the range unit-root (RUR) test since it is constructed from the running ranges of the series from which we derive its limit distribution. These nonparametric statistics endow the test with a number of desirable properties, the invariance to monotonic transformations of the series and the robustness to the presence of important parameter shifts. Moreover, the RUR test outperforms the power of standard unit-root tests on near-unit-root stationary time series; it is invariant with respect to the innovations distribution and asymptotically immune to noise. An extension of the RUR test, called the forward?backward range unit-root (FB-RUR) improves the check in the presence of additive outliers. Finally, we illustrate the performances of both range tests and their discrepancies with the Dickey?Fuller unit-root test on exchange rate series.Publicad
Going Beyond Counting First Authors in Author Co-citation Analysis
No full textThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
El funcionamiento de los mercados y el comercio electrónico. Principios básicos para el análisis
No full textEn este trabajo se revisan de forma intuitiva y gráfica los aspectos fundamentales del funcionamiento de los cuatro tipos de mercados más importantes: competencia perfecta, monopolio, competencia monopolística y oligopolio. Se realiza un análisis detallado de las justificaciones económicas de la discriminación de precios y sus efectos sobre el bienestar. Se analizan las estrategias de diferenciación de productos, que seguramente potenciarán las empresas en el futuro, al tener que hacer frente a una mayor competencia derivada del desarrollo masivo del comercio electrónico. Por último, se discuten los canales de transmisión del impacto que tendrá el desarrollo masivo del comercio electrónico sobre los mercados sectoriales y sobre la economía a nivel agregado.Publicad
Asymmetries in Bid-Ask Responses to Innovations in the Trading Process.
No full textThis paper has benefited from the support of the Spanish DGICYT project #PB98-0030 and the European Project on VPM-Improving Human Research Potential, HPRN-CT-2002-00232. The authors are grateful for the comments received from an anonymous referee and from Mikel Tapia, Ignacio Peña, Winfried Pohlmeier and the attendants to the Econometrics Research Seminar at C.O.R.E., Université Catholique de Louvain, Belgium. We also appreciate the suggestions of participants at the CAF Market Microstructure and High Frequency Data in Finance Workshop, August 2001, Sønderborg (Denmark), and the European Financial Association Meeting, August 2001, Barcelona (Spain)Market microstructure; Bid and ask time series; VEC models; Adverse-selection costs; Asymmetric dynamics;
Bootstraping cointegration tests under structural co-breaks: a robust extended ECM test
No full textThe aim of the paper is the analysis of ECM bootstrap cointegration tests under structural breaks. Classical ECM tests depend on sorne nuisance parameters, which is an undesirable feature for empirical applications. This problem is overcome by using the bootstrap ECM test, which shows good size and power properties when there are no breaks. In this paper we study the small sample properties of alternative bootstrap ECM tests under different cobreaking situations. ECM test statistics are made robust to partial cobreaking by using extended error correction models or by imposing a common factor restriction
Dispelling the Myths Behind First-author Citation Counts
No full textWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
Demonstracion a punto fijo, arreglo seguro, y concertados computos, en que puntualmente se aniuelan, y acreditan con la... historia y con arithmeticas arregladas cuentas, los dias, y años ciertos de los soberanos mysterios de la Encarnacion, Passion, y muerte de nuestro redemptor Iesu-Christo y otras muchas circunstancias...
No full textFecha probable de impr.En el prólogo consta: "Este abreviado Tomo comprende dos partes de impression, la primera es la que está desde el fol. 1 hasta el 24... que se diò al pùblico el año de 1758..."En p. 25 se lee: "Continuacion de esta obra. Con todas las licencias necessarias. En Madrid, por Miguèl Escribano. Año de 1765"Son comunes las "Erratas de este impreso", en ¶6 v.Error de pag., 124 por 138Las h. pleg. corresponden a cómputos cronológicosEnc. Perg.Sign.: ¶6, [ ]1, B-F2, G1, H-X4, Y
Adicción á la Libreria de jueces utilisima y universal que ... escribió en 8 tomos el licenciado D. Manuel Silvestre Martínez ... : tomo II y X de dicha libreria ... / por don Ramón Antonio de Higuera ...
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Nonlinear Cointegration and Nonlinear Error Correction: Record Counting Cointegration Tests.
No full textIn this article we propose a record counting cointegration (RCC) test that is robust to nonlinearities and certain types of structural breaks. The RCC test is based on the synchronicity property of the jumps (new records) of cointegrated series, counting the number of jumps that simultaneously occur in both series. We obtain the rate of convergence of the RCC statistics under the null and alternative hypothesis. Since the asymptotic distribution of RCC under the null hypothesis of a unit root depends on the short-run dependence of the cointegrated series, we propose a small sample correction and show by Monte Carlo simulation techniques their excellent small sample behaviour. Finally, we apply our new cointegration test statistic to several financial and macroeconomic time series that have certain structural breaks and nonlinearities.Cointegration; Counting statistics; Jumps; Nonlinearity; Ranges; Robustness; Small sample corrections; Structural breaks; Unit roots tests; 37M10; 62M10;
Napoleón B. Bonetti a Juan Facundo Quiroga
No full textCon la rúbrica del escribano mayor de Gobierno Josef B. Basavilbas
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