Fractional Brownian motion is a mean-zero self-similar Gaussian process with stationary increments. Its covariance depends on two parameters, the self-similar parameter H and the variance C. Suppose that one wants to estimate optimally these parameters by using n equally spaced observations. How...

We show that changes in the innovation covariance matrix of a vector of series can generate spurious rejections of the null hypothesis of co-integration when applying standard residual-based co-integration tests. A bootstrap solution to the inference problem is suggested which is shown to...

An approximate likelihood function for panel data with an autoregressive moving-average (ARMA)(p, q) model remainder disturbance is presented and Whittle's approximate maximum likelihood estimator (MLE) is used to yield an asymptotic estimator. Although an asymptotic approach, the power test is...

We study the phenomenon of spurious regression between two random variables, when the generating mechanism of individual series is assumed to follow a stationary process around a trend with (possibly) multiple breaks in the level and slope of trend. We develop the relevant asymptotic theory and...

Macroeconomic variables have been shown to display a wide variety of structural breaks of unknown number, duration and form. This poses a challenge since improperly modelled breaks can result in a seriously misspecified model. In this paper, we develop a new test for stationarity that...

In this paper, we study the spectral properties of a bivariate vector autoregressive VAR(p) model when a root z_0 = rho_e-super-i Lambda _0 of the determinant of the model's characteristic matrix Phi(z) approaches the unit circle, the border of non-stationarity. Let Phi_xx(z), Phi_xy(z),...

A method is introduced to estimate nonparametric autoregressive models under the additional constraint that its regression function has a stable cycle. It is based on a penalty approach that chooses a series expansion approximation taking into account both goodness-of-fit and fulfillment of the...

We analyze, by simulation, the finite-sample properties of goodness-of-fit tests based on residual autocorrelation coefficients (simple and partial) obtained using different estimators frequently used in the analysis of autoregressive moving-average time-series models. The estimators considered...