This chapter builds on previous work by Bhardwaj and Swanson (2004) who address the notion that many fractional I(d) processes may fall into the empty boxʺ category, as discussed in Granger (1999). However, rather than focusing primarily on linear models, as do Bhardwaj and Swanson, we analyze...

Central banks regularly monitor select financial and macroeconomic variables in order to obtain early indication of the impact of monetary policies. This practice is discussed on the Federal Reserve Bank of New York website, for example, where one particular set of macroeconomic "indicators" is...

Diffusion index models have received considerable attention from both theoreticians and empirical econometricians in recent years. One reason for this is that datasets with many variables are increasingly becoming available and being utilized for economic modelling, and another is that common...