We consider nonparametric regression for bivariate circular time series with long-range dependence. Asymptotic results for circular Nadaraya–Watson estimators are derived. Due to long-range dependence, a range of asymptotically optimal bandwidths can be found where the asymptotic rate of...

We consider INAR(1) processes modulated by an unobserved strongly dependent 0-1process. The observed process exhibits zero inflation and long memory. A simple method is proposed for estimating the INAR-parameters without modelling the unobserved modulating process. Asymptotic results for the...

We consider INAR(1) processes modulated by an unobserved strongly dependent 0-1process. The observed process exhibits zero inflation and long memory. A simple method is proposed for estimating the INAR-parameters without modelling the unobserved modulating process. Asymptotic results for the...

There are various competing procedures to determine whether fractional cointegration is present in a multivariate time series, but no standard approach has emerged. We provide a synthesis of this literature and conduct a detailed comparative Monte Carlo study to guide empirical researchers in...