Two problems exist in testing for (co-)integration. One is that current definitions of fractional integration in the time-domain can be incomplete. The other is that disregarding fractional orders of integration can cause incorrectly-sized inference about cointegration. This paper completes the...

This discussion paper resulted in a publication in the <I>Journal of Econometrics</I> (2004). Volume 119, p. 45.<P> We study the optimal choice of quasi-likelihoods for nearly integrated,possibly non-normal, autoregressive models. It turns out that the two mostnatural candidate criteria, minimum Mean...</p></i>

This paper deals with models allowing for trending processes and cyclical component with error processes that are possibly nonstationary, nonlinear, and non-Gaussian. Asymptotic confidence intervals for the trend, cyclical component, and memory parameters are obtained. The confidence intervals...

This paper deals with models allowing for trending processes and cyclical component with error processes that are possibly nonstationary, nonlinear, and non-Gaussian. Asymptotic confidence intervals for the trend, cyclical component, and memory parameters are obtained. The confidence intervals...

Reliable data analysis is one of the hardest tasks in sciences and social sciences. Often misleading and sometimes puzzling results arise when the analysis is done without regard for the special features of the data. In this exposition, I will focus on designing new statistical tools to deal...

Macroeconomic and aggregate financial series share an unconventional type of nonlinear dynamics. Existing techniques (like co-integration) model these dynamics incompletely, hence generating seemingly paradoxical results. To avoid this, we provide a methodology to disentangle the long-run...

We detect a new stylized fact about the common dynamics of macroeconomic and financial aggregates. The rate of decay of the memory of these series is depicted by their Auto-Correlation Functions (ACFs). They all share a common four-parameter functional form that we derive from the dynamics of an...