This study explores performance of the Johansen cointegration statistics on data containing negative moving average (NMA) errors. Monte Carlo experiments demonstrate that the asymptotic distributions of the statistics are sensitive to NMA parameters, and that using the standard 5% asymptotic...

This article develops a new Markov breaks (MB) model for forecasting and making inference in linear regression models with breaks that are stochastic in both timing and magnitude. The MB model permits an arbitrarily large number of abrupt breaks in the regression coefficients and error variance,...

Exact discretization formulae are established for a first-order stochastic differential equation driven by a fractional noise of either long memory or antipersistent type. We assume that the underlying process is sampled at non-unit equispaced observational intervals. Using fractional algebra...

This note derives an explicit formula for the numerical calculation of the square root of a matrix, when this function exists. An example is given as an illustration of the formula. The condition for the existence of the square root is also illustrated.