Varying-coefficient linear models arise from multivariate nonparametric regression, nonlinear time series modelling and forecasting, functional data analysis, longitudinal data analysis, and others. It has been a common practice to assume that the vary-coefficients are functions of a given...

Hall & Yao (2003) showed that, for ARCH/GARCH, i.e. autoregressive conditional heteroscedastic/generalised autoregressive conditional heteroscedastic, models with heavy‐tailed errors, the conventional maximum quasilikelihood estimator suffers from complex limit distributions and slow...

We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the 'news impact' function. We propose an...

A life-course account of the pathways to adult social exclusion for children born in 1958 is explored. We identify the pervasive childhood factors, associated with a wide range of adult disadvantage, and specific life-course domain antecedents. Childhood disadvantage has more powerful legacies...

We develop a general methodology for tilting time series data. Attention is focused on a large class of regression problems, where errors are expressed through autoregressive processes. The class has a range of important applications and in the context of our work may be used to illustrate the...

This paper sets out an overarching theoretical framework for explaining and exploring the processes of social exclusion, incorporating themes from the literature. It proposes that inclusion hinges on participation in social relationships enacted through ¿transactional processes¿, where...

In components of variance models the data are viewed as arising through a sum of two random variables, representing between- and within-group variation, respectively. The former is generally interpreted as a group effect, and the latter as error. It is assumed that these variables are...

Why is social exclusion a problem? What about ‘voluntary’ social exclusion – when an individual chooses to exclude him or herself from the wider society? Brain Barry has addressed these questions in a recent CASE book, arguing that social exclusion, voluntary or involuntary, offends...

For a set of spatially dependent dynamical models, we propose a method for estimating parameters that control temporal dynamics by spatial smoothing. The new approach is particularly relevant for analyzing spatially distributed panels of short time series. The asymptotic results show that...

The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is completely known. However in moderate samples the normal approximation may not be...