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A. Montañés

Publications and source records attributed to A. Montañés.

2 recordsLinked to original sources
arXiv2026

Robust estimation of the autocorrelation function via forward ratios

It is obvious to say that an adequate estimation of the autocorrelation function is central in time series analysis. In this paper, we propose three new robust estimators based on ratios of observations, which offer strong resistance against outliers. While the first estimator, which is based on the median, is not efficient, the second is a Quasi Maximum Likelihood (QML) estimator with better efficiency properties. The third estimator is a plug-in estimator, which does not require numerical optimization and, consequently, is extremely simple from a computationally point of view, having similar efficiency to that of the ML estimator. We derive the asymptotic distribution of the first two estimators, when the true autocorrelations are zero. Furthermore, we also show that the asymptotic distribution of the plug-in estimator is rather close to that of the QML estimator, allowing for inference and, in particular, for the construction of point-wise significance bands for the autocorrelations. Using Monte Carlo simulations, we analyse the finite sample properties of the proposed estimators and compare them with those of the sample autocorrelations and alternative extant robust estimators based on ranks. Although the proposed estimators have larger dispersion than the sample autocorrelations in uncontaminated time series, they are highly robust in the presence of outliers. Also, they have better properties than popular alternative robust estimators based on ranks when estimating autocorrelations of order larger than one. The results are illustrated by estimating the correlogram of daily IBEX35 returns, quarterly US economic growth and monthly US inflation.

econ.EM↗
arXiv2026

Interpreting (and testing) factor loadings

Dynamic Factor Models (DFMs) are popular to reduce dimensionality being customary in the empirical analysis of large systems of macroeconomic and/or financial variables. In this context, the common underlying factors and their loadings are often extracted using Principal Components (PC), which are consistent and asymptotically normal under very general conditions. Consequently, inference on the factor loadings, which is crucial for the correct interpretation of the underlying factors, is often based on their asymptotic distribution with the limit covariance matrix of the loadings consistently estimated using HAC estimators. In this paper, we analyse the performance of the finite sample asymptotic approximation when constructing confidence intervals and testing about estimated PC loadings. We show that this approximation is seriously affected when the cross-sectional dimension is not large enough. We propose using HAR inference and a subsampling procedure to correct the MSE of the loadings to take into account the uncertainty associated with the estimation of the covariance matrix and of the factors, respectively. The relevance of the results is illustrated in an empirical analysis of economic convergence among the US states.

econ.EM↗