The African Union advocates the creation of a monetary union in stages for the entire continent starting with each of the different sub-regions. Building from that, the Southern African Development Community has, among its goals, the creation of a monetary union for its member states. However,...

As applied cointegration analysis faces the challenge that (a) potentially relevant variables are unobservable and (b) it is uncertain which covariates are relevant, partial systems are often used and potential (stationary) covariates are ignored. Recently it has been argued that a nominally...

This paper gives a computer-intensive approach to multi-step-ahead prediction of volatility in financial returns series under an ARCH/GARCH model and also under a model-free setting, namely employing the NoVaS transformation. Our model-based approach only assumes i..id innovations without...

Existing proofs of the asymptotic validity of conventional methods of impulse response inference based on higher-order autoregressions are pointwise only. In this paper, we establish the uniform asymptotic validity of conventional asymptotic and bootstrap inference about individual impulse...