This paper deals with the estimation of linear dynamic models of the ARMA type for the conditional mean for time series with conditionally heteroskedastic innovation process widely used in modelling financial time series. Estimation is performed using subspace methods which are known to have...

This paper reexamines the permanent income hypothesis (PIH) in the frequency domain. Using a simple model, we demonstrate that the PIH implies the marginal propensity to consume (MPC) out of zero frequency income is unity. The PIH also implies that the MPC out of transitory (or high frequency)...

The information contained in the forecasts from two econometric models can be compared by regressing the actual change in the variable forecasted on the two forecasts of the change. We do such comparisons in this paper, where the forecasts are based only on information through the period prior...

Was the Depression forecastable? After the Crash, how long did it take contemporary economic forecasters to realize how severe the downturn was going to be? How long should it have taken them to come to this realization? These questions are addressed by studying the predictions of the Harvard...

The Kalman filter is sued to derive updating equations for the Bayesian data density in discrete time linear regression models with stochastic regressors. The implied "Bayes model" has time varying parameters and conditionally heterogeneous error variances. A sigma-finite "Bayes model" measure...

Some challenges for econometric research on trending time are discussed in relation to some perceived needs of macroeconomics and macroeconomic policy making.

Some limit properties for information based model selection criteria are given in the context of unit root evaluation and various assumptions about initial conditions. Allowing for a nonparametric short memory component, standard information criteria are shown to be weakly consistent for a unit...

An asymptotic theory is given for autoregressive time series with a root of the form rho_{n} = 1+c/n^{alpha}, which represents moderate deviations from unity when alpha in (0,1). The limit theory is obtained using a combination of a functional law to a diffusion on D[0,infinity) and a central...

It has been know since Phillips and Hansen (1990) that cointegrated systems can be consistently estimated using stochastic trend instruments that are independent of the system variables. A similar phenomenon occurs with deterministically trending instruments. The present work shows that such...