In this article, we propose two new semiparametric estimators in the wavelet domain in order to estimate the parameter of nonstationary long memory models. Compared to the Fourier transform, the advantage of the wavelet approach to analyze the behavior of nonstationary time series is that it can...

We extend the hiring and firing framework of Shepp and Shiryaev (J Econ Dyn Control 20:1523–1539, <CitationRef CitationID="CR5">1996</CitationRef>) to include infighting, and solve the profit-maximization problem using our numerical technique. With infighting, we find a smaller optimal firm size, and lowered firm value that stems from...</citationref>

A simple transform of a standard uniform variate is given for simulation of the maximum attained by a Wiener process with drift, conditioned upon the level attained by the process over an arbitrary time interval. The transform arises directly from inversion of the joint distribution function of...

Model selection – choosing the relevant variables and structures – is a central task in econometrics. Given a limited number of observations, estimation and inference depend on this choice. A frequently treated model-selection problem arises in multivariate autoregressive models, where the...

Automated model searches using information criteria are used for the estimation of linear single equation models. Genetic algorithms are described and used for this purpose. These algorithms are shown to be a practical method for model selection when the number of sub-models are very large....