type="main" xml:id="jtsa12064-abs-0001"The consistency of the quasi-maximum likelihood estimator for random coefficient autoregressive models requires that the coefficient be a non-degenerate random variable. In this article, we propose empirical likelihood methods based on weighted-score...

type="main" xml:id="jtsa12065-abs-0001"This article investigates the statistical properties of the recently introduced quantile periodogram for time series with time-dependent variance. The asymptotic distribution of the quantile periodogram is derived in the case where the time series consists...

type="main" xml:id="jtsa12072-abs-0001"The problem of non-parametric spectral density estimation for discrete-time series in the presence of missing observations has a long history. In particular, the first consistent estimators of the spectral density have been developed at about the same time...

type="main" xml:id="jtsa12085-abs-0001"In this work, we give simple matrix formulae for maximum likelihood estimates of parameters in a broad class of vector autoregressions subject to Markovian changes in regime. This allows us to determine explicitly the asymptotic variance–covariance matrix...

type="main" xml:id="jtsa12082-abs-0001"The availability of high-frequency financial data has led to substantial improvements in our understanding of financial volatility. Most existing literature focuses on estimating the integrated volatility over a fixed period. This article proposes a...

type="main" xml:id="jtsa12063-abs-0001" <title type="main">Abstract</title>Consider an infinite dimensional vector linear process. Under suitable assumptions on the parameter space, we provide consistent estimators of the autocovariance matrices. In particular, under causality, this includes the infinite-dimensional...

type="main" xml:id="jtsa12019-abs-0001"This article proposes a hybrid bootstrap approach to approximate the augmented Dickey–Fuller test by perturbing both the residual sequence and the minimand of the objective function. Since innovations can be dependent, this allows the inclusion of...

type="main" xml:id="jtsa12053-abs-0001"When time-series data contain a periodic/seasonal component, the usual block bootstrap procedures are not directly applicable. We propose a modification of the block bootstrap – the generalized seasonal block bootstrap (GSBB) – and show its asymptotic...

type="main" xml:id="jtsa12083-abs-0001"A time-varying autoregression is considered with a similarity-based coefficient and possible drift. It is shown that the random-walk model has a natural interpretation as the leading term in a small-sigma expansion of a similarity model with an exponential...

type="main" xml:id="jtsa12071-abs-0001"The distributions of cointegration tests are affected when the innovation variance varies over time. In panels, one must also pay attention to dependence among units. To obtain a panel cointegration test robust to both heteroskedasticity and dependence, we...