We propose bootstrap implementations of the asymptotic Wald, likelihood ratio and Lagrange multiplier tests for the order of integration of a fractionally integrated time series. Our main purpose in doing so is to develop tests which are robust to both conditional and unconditional...

Antedependence (AD) of order p, also known as the Markov property of order p, is a property of index-ordered random variables in which each variable, given at least p immediately preceding variables, is independent of all further preceding variables. Zimmerman and Nunez-Anton (2010) present...

This chapter provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field.

Following McNeil and Nešlehová (2009), we present some weaker conditions under which a partially nested Archimedean copula with arbitrary nesting levels is still a copula. Relaxing the conditions on the generators enable researchers to model data sets more efficiently.