A class of autoregressive moving-average (ARMA) models proposed by Jørgensen and Song [Journal of Applied Probability (1998), vol. 35, pp. 78-92] with exponential dispersion model margins are useful to deal with non-normal stationary time series with high-order autocorrelation. One property...

We investigate the behaviour of rolling and recursive augmented Dickey-Fuller (ADF) tests against processes which display changes in persistence. We show that the power of the tests depend crucially on the window width and warm up parameter for the rolling and recursive procedures respectively,...

In this paper we provide tests for the unit-root hypothesis against the occurrence of an unspecified number of breaks which may be larger than 2 but smaller that the maximum number of breaks allowed, m, in univariate time-series models. The advocated procedure is considerably less...

This paper obtains the joint limiting distribution of residuals and squared residuals of a general time-series model. Based on this, we propose a mixed portmanteau statistic for testing the adequacy of fitted time-series models. In some cases, it is shown that this statistic can be simply...

A new procedure for testing the fit of multivariate time series model is proposed. The method evaluates in a certain way the closeness of the sample spectral density matrix of the observed process to the spectral density matrix of the parametric model postulated under the null and uses for this...

The influence of missing observations on the linear prediction of a stationary time series is investigated. Simple bounds for the prediction error variance and asymptotic behaviours for short and long-memory processes respectively are presented. Copyright 2005 Blackwell Publishing Ltd.

Large sample properties of the least-squares and weighted least-squares estimates of the autoregressive parameter of the explosive random-coefficient AR(1) process are discussed. It is shown that, contrary to the standard AR(1) case, the least-squares estimator is inconsistent whereas the...

This paper considers semi-parametric frequency domain inference for seasonal or cyclical time series with asymmetric long memory properties. It is shown that tapering the data reduces the bias caused by the asymmetry of the spectral density at the cyclical frequency. We provide a joint treatment...

An explicit analytic solution for the stationary marginal distribution of a simple threshold autoregressive process is given. Furthermore, closed form expressions for all moments of the process are presented. The derivation is based on the use of the Frobenius-Perron operator. Copyright 2004...

This paper analyses the asymptotic behaviour of the autocorrelation structure exhibited by squares of time series with a Wold expansion where the input error is a sequence of random variables with mean zero and finite kurtosis. Two important cases are discussed: (i) when the errors are...