Factor model methods recently have become extremely popular in the theory and practice of large panels of time series data. Those methods rely on various factor models which all are particular cases of the Generalized Dynamic Factor Model (GDFM) introduced in Forniet al. (2000). That paper,...

The strong consistency and asymptotic normality of the Whittle estimate of the parameters in a class of exponential volatility processes are established. Our main focus here are the EGARCH model of [Nelson, D. 1991. Conditional heteroscedasticity in asset pricing: A new approach. Econometrica...

This paper develops consistency and asymptotic normality of parameter estimates for a higher-order spatial autoregressive model whose order, and number of regressors, are allowed to approach infinity slowly with sample size. Both least squares and instrumental variables estimates are examined,...

A dynamic panel data model is considered that contains possibly stochastic individual components and a common stochastic time trend that allows for stationary and nonstationary long memory and general parametric short memory. We propose four different ways of coping with the individual effects...

We consider time series that, possibly after integer differencing or integrating or other detrending, are covariance stationary with spectral density that is regularly varying near zero frequency, and unspecified elsewhere. This semiparametric framework includes series with short, long and...