To what extent can the bootstrap be applied to conditional mean models â€" such as regression or time series models â€" when the volatility of the innovations is random and possibly non-stationary? In fact, the volatility of many economic and financial time series displays persistent...

We consider estimation and testing infinite-order autoregressive models with a (near) unit root and infinite-variance innovations. We study the asymptotic properties of estimators obtained by dummying out ?large?innovations, i.e., exceeding a given threshold. These estimators reflect the common...

We consider estimation and testing infinite-order autoregressive models with a (near) unit root and infinite-variance innovations. We study the asymptotic properties of estimators obtained by dummying out ?large?innovations, i.e., exceeding a given threshold. These estimators reflect the common...

The asymptotic distributions of Augmented-Dickey-Fuller (ADF) unit root tests for autoregressive processes with a unit or near-unit root are discussed in the presence of multiple stochastic level shifts of large size occurring independently in time. The distributions depend on a Brownian motion...

It is well known that the standard i.i.d. bootstrap of the mean is inconsistent in a location model with infinite variance (?-stable) innovations. This occurs because the bootstrap distribution of a normalised sum of infinite variance random variables tends to a random distribution. Consistent...

The asymptotic distributions of Augmented-Dickey-Fuller (ADF) unit root tests for autoregressive processes with a unit or near-unit root are discussed in the presence of multiple stochastic level shifts of large size occurring independently in time. The distributions depend on a Brownian motion...

To what extent can the bootstrap be applied to conditional mean models – such as regression or time series models – when the volatility of the innovations is random and possibly non-stationary? In fact, the volatility of many economic and financial time series displays persistent changes and...

We show that full risk sharing may not be at odd with the idea that changes in regional consumption display error-correcting dynamics, in line with the idea that information and transaction costs stemming from interregional portfolio diversification and labor movements induced by permanent...

It is well established that the shocks driving many key macro-economic and financial variables display time-varying volatility. In this paper we consider estimation and hypothesis testing on the coefficients of the co-integrating relations and the adjustment coefficients in vector...

In a recent paper Hualde and Robinson (2011) establish consistency and asymptotic normality for conditional sum-of-squares estimators, which are equivalent to conditional quasi-maximum likelihood estimators, in parametric fractional time series models driven by conditionally homoskedastic...