Econometrics, Volume 10, Issue 4

For more than half a century, Manfred Deistler has been contributing to the construction of the rigorous theoretical foundations of the statistical analysis of time series and more general stochastic processes. Half a century of unremitting activity...

This paper proposes strategies to detect time reversibility in stationary stochastic processes by using the properties of mixed causal and noncausal models. It shows that they can also be used for non-stationary processes when the trend component is...

A survey is provided dealing with the formulation of modelling problems for dynamic factor models, and the various algorithm possibilities for solving these modelling problems. Emphasis is placed on understanding requirements for the handling of erro...

In this paper, we present a case study aimed at determining a billing plan that ensures customer loyalty and provides a profit for the energy company, whose point of view is taken in the paper. The energy provider promotes new contracts for residenti...

Structural breaks have attracted considerable attention recently, especially in light of the financial crisis, Great Recession, the COVID-19 pandemic, and war. While structural breaks pose significant econometric challenges, machine learning provides...

This paper proposes enhanced studies on a model consisting of a finite mixture framework of generalized linear models (GLMs) with gamma-distributed responses estimated using the Bayesian approach coupled with the Markov Chain Monte Carlo (MCMC) metho...