The claim that linear filters are liable to induce spurious fluctuations has been repeated many times of late. However, there are good reasons for asserting that this cannot be the case for the filters that, nowadays, are commonly employed by econometricians. If these filters cannot have the...

The quasi-maximum likelihood estimator (QMLE) of parameters in the first-order moving average model can be biased in finite samples. We develop the second-order analytical bias of the QMLE and investigate whether this estimation bias can lead to biased feasible optimal forecasts conditional on...

In this article, we investigate and compare the behaviour of some bootstrap unit root tests in finite ARMA models with a constant and/or a trend and use them to obtain asymptotic results for the point optimal (hereafter PO) test, in terms of both size and power. We demonstrate the asymptotic...

Abstract: In this article, we analyze a maximum likelihood estimator using Data Cloning for Stochastic Volatility models. This estimator is constructed using a hybrid methodology based on Integrated Nested Laplace Approximations to calculate analytically the auxiliary Bayesian estimators with...

In this article, we extend the stationarity test proposed by Kurozumi and Tanaka (2010. “Reducing the size distortion of the KPSS test.” Journal of Time Series Analysis 31:415–26) to reduce size distortion with one structural break in data generating process. We find the bias up to the...

A functional time series consists of curves, typically one curve per day. The most important parameter of such a series is the mean curve. We propose two methods of detecting a change in the mean function of a functional time series. The change is detected on line, as new functional observations...

The classical aggregation result by Tiao (1972, Asymptotic Behavior of Temporal Aggregates of Time Series, Biometrika 59, 525–531) is generalized for a weak set of assumptions. The innovations driving the integrated processes are only required to be stationary with integrable spectral density....

This paper makes a simple but previously neglected point with regard to an empirical application of the test of White (1989) and Lee, White, and Granger (LWG, 1993), for neglected nonlinearity in conditional mean, using the feedforward single layer artificial neural network (ANN). Because the...

This paper proposes a monitoring cumulative sum of squares (CUSQ)-type test for structural breaks in real time via an autoregressive (AR) approximation framework where data generating process (DGP) is a long memory process. The limiting distribution of the monitoring test follows a Brownian...

This paper proposes a two-stage weighted least squares (2S-WLS) estimate for the autoregressive parameter and the random coefficient variance of a non-(strictly) stationary random coefficient autoregression (RCA). In the first stage, the autoregressive parameter is estimated from the conditional...