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Journal Articles

Javier LópezdeLacalle, Trends in Alaska Temperature Data. Towards a More Realistic Approach. Climate Dynamics, 2012, 38(1112), pp. 2131–2141.
Abstract:
Time series of seasonal temperatures recorded in Alaska during the past eighty
years are analyzed. A common practice to measure changes in the longterm pattern of temperature
series is to fit a deterministic linear trend. A deterministic trend is not a realistic approach
and poses some pitfalls from the statistical point of view.
A statistical model to fit a latent timevarying level independent of the Pacific
climate shift is proposed. The empirical distribution of temperature conditional on
the phase of the Pacific Decadal Oscillation is obtained. The results reveal that
the switch between the negative and the positive phase leads to differences in temperatures
up to 4℃ in a given location and season.
Differences across seasons and locations are detected.
The effect of the Pacific climate shift is stronger in winter.
An overall increase of temperatures is observed in the long term.
The estimated trends are not constant but
exhibit different patterns that vary in the sign and strength over the sample period.
BibTeX 
DOI

Hrishikesh D. Vinod, Javier LópezdeLacalle, Maximum Entropy Bootstrap for Time Series: The meboot R Package. Journal of Statistical Software, 2009, 12(4), pp. 1–19.
Abstract:
The maximum entropy bootstrap is an algorithm that creates an ensemble for time series inference.
Stationarity is not required and the ensemble satisfies the ergodic theorem and the central limit
theorem. The meboot R package implements such algorithm. This document introduces the procedure
and illustrates its scope by means of several guided applications.
JSS 
BibTeX

Javier LópezdeLacalle, The Rcomputing Language: Potential for Asian Economists. Journal of Asian Economics, 2006, 17(6), pp. 1066–1081.
Abstract:
This paper reviews the open source R language and environment for statistical computing
and graphics. The paper stresses the potential usefulness for Asian universities,
researchers and organizations concerned with data analysis. We provide some practical
guidelines and information on useful resources when working with R. We also include
some examples to illustrate the scope of R as an objectoriented language and introduce
the basic syntax.
DOI 
BibTeX
Working Papers and Other Documents

GPU Parallel Implementation of Numerical Distribution Functions for Seasonal Unit Root Tests. Working Paper, June 2016.
Abstract:
This paper describes a parallel implementation of multiple linear regression models that are run
on a generalpurpose Graphics Processing Unit.
Seasonal unit root test statistics are obtained from each fitted regression model.
The code has two main applications:
simulation of response surfaces for different combinations of parameters
and bootstrapping the test statistics.
Each of this applications provides a different method to compute
pvalues of seasonal unit root tests,
for which available tabulated critical values are limited.
Computing intensive operations are implemented in the CUDA
platform and programming model.
An interface in the R language and environment
is provided for the computation of pvalues by means of both approaches.
Document

Enhanced ExpectationMaximization Algorithm for Pure Variance Structural Time Series Models. Working Paper, November 2014. 18 pages.
Abstract:
Despite some practical advantages of the EM algorithm,
its use in the context of structural time series models
has been limited due to the observed slow convergence.
We propose an enhancement of the algorithm by
incorporating information from derivative terms
that are null in the original design.
Simulation experiments
show a notable improvement in the convergence of the algorithm,
while keeping parameter estimates practically identical to those
obtained with the original algorithm.
Document 
BibTeX

101 Variations on a Maximum Likelihood Procedure for a Structural Time Series Model. Working Paper, January 2013. 16 pages.
Abstract:
We discuss several variations on the implementation of a
maximum likelihood procedure to fit the basic structural time series model.
We illustrate through an application that several issues that are often neglected
by practitioners, such as the parameterization of the model or the concentration
of a parameter, may have a significant effect on the results.
Difficulties that practitioners sometimes find to replicate parameter estimates
reported by others are often due to the omission of these issues.
Document 
BibTeX

Measuring the Effect of the Pacific Decadal Oscillation on Alaska Temperature Data. Working paper, July 2010. 13 pages.
Abstract:
We analyse the effect of the Pacific Decadal Oscillation (PDO)
on temperatures recorded in Fairbanks (Alaska).
We perform a graphical analysis based on seasonal paths and conditional densities
obtained through quantile regressions.
The results show evidence in agreement with the models and patterns
discussed in the literature of climatology.
Document 
BibTeX

TimeVarying Autoregressive Models for the Detection of Seasonal Trends in Alaska Temperature Data. Working paper, May 2010. 13 pages.
Abstract:
We fit an autoregressive time series model with timevarying
parameters to study changes in seasonal means of temperature data observed in
Fairbanks (Alaska, USA).
Other studies have found an increase in temperature using annual or seasonal averages.
We develop a statistical model that allows us to have a further
insight in this issue using monthly data.
The results show that the overall increase in temperature is driven mainly by
warmer winter months. The increase in temperature is more prominent in winter months.
A decrease in temperature is found in October.
Document 
BibTeX

An inverse Transform Approach for GibbsSampling Using Data Augmentation for Latent Components in StateSpace Models. Working paper, March 2009. 15 pages.
Abstract:
One of the steps in the Gibbs sampler for the estimation of
statespace models requires drawing values for the unobserved state vector. A common
approach for this step is the usage of the simulation smoother conditioned to the
data. In this document we discuss another approach based on resampling techniques.
In particular, we explore Vinod's maximum entropy
bootstrap as a technique for drawing the state vector.
Document 
Animated graphic 
BibTeX

The Clark Model for Business Cycle Analysis with Markov Switching Regimes.
Master Thesis in Econometrics and Operations Research, Vrije Universiteit Amsterdam, July 2008. 44 pages.
Supervisors: Siem Jan Koopman, Soon Yip Wong.
Abstract:
The Clark model is an unobserved components model consisting of
a trend and a cycle components. The former is a random walk with stochastic
drift where the effect of shocks is permanent, while the latter component is driven
by a stationary process characterized by the transitory effect of shocks.
In Clark's model the effect of shocks is symmetric throughout the phases of
the cycle. Stylized facts reveal the presence of asymmetries where
long and smooth expansion periods alternate with sharper and shorter recession periods.
In order to account for these asymmetries, researches have drawn
attention to models where changes of regime are modelled
endogenously as a Markov process.
In this thesis, we set up a general framework that encompasses
reference models analyzed in the literature.
We adopt Clark's structural time series model and extend it allowing for
Markov switching regimes in the components and the parameters of the model.
We illustrate the contribution from dynamic econometric models
to the empirical analysis of gross domestic product time series.
In a first stage, the analysis is carried out separately for a
trendcycle unobserved components model and a Markov switching regime model.
Next, we conduct two applications to compare results based on exact
and approximate maximum likelihood in the context of the
Clark model with Markov switching regimes.
Upon this framework, we analyze further empirical issues that
have been addressed separately in the literature: measure the persistence
of shocks and estimation of the contemporaneous correlation between components.
Finally, the presence of two transitory components is discussed in a model with
asymmetries in the trend.
Document 
Slides 
BibTeX

Seasonal Adjustment of The HICP. Energy and Unprocessed Food Discussion Paper, 2006. 17 pages.
Abstract:
This note was prepared in cooperation with Martin Eiglsperger
during an internship in the European Central Bank's Directorate General Statistics.
Document 
Slides

Periodic Autoregressive Time Series Models in R: The partsm Package, BILCODEC number 200501. Universidad del País Vasco UPV/EHU, Dpto. de Economía Aplicada III (Econometría y Estadística). 16 pages.
Abstract:
This document focuses on practical issues showing the use of the partsm Rpackage. The
package allows the user to check for periodicity in the data, fit a periodic autoregressive
model of order p, PAR(p), select the periodic autoregressive lag order parameter, test
for periodic integration, fit a periodically integrated autoregressive model up to order 2,
PIAR, as well as to perform outofsample forecasts.
Note:
The partsm package was developed
as a pedagogical exercise while reading the book
Periodicity and Stochastic Trends in Economic Time Series
by P.H. Franses.
The package replicates some of the results shown in the first eight chapters of the book.
Acknowledgements:
Many thanks to Matthieu Stigler for maintaining the package active on CRAN.
Document 
Package source: CRAN 
BibTeX

Ignacio DíazEmparanza, Javier LópezdeLacalle,
Estacionalidad Determinista y Estocástica en Series Temporales Macroeconómicas. BILTOKI number 200402.
Universidad del País Vasco UPV/EHU, Dpto. de Economía Aplicada III (Econometría y Estadística). 106 pages.
Abstract:
Basándose en la literatura existente, en este trabajo se propone una metodología
para el estudio gráfico y analítico del componente estacional en una serie temporal.
El objetivo del análisis es determinar si el componente estacional responde a un comportamiento
determinista o estocástico. Se muestran un conjunto de aplicaciones con series de la CAPV
y del Estado para las que se define un modelo estadístico que recoge las características
observadas en el análisis de la serie.
Document 
BibTeX