Empirical evidence has emerged of the possibility of fractional cointegration such that the gap, β, between the integration order δ of observable time series and the integration order γ of cointegrating errors is less than 0.5. This includes circumstances when observables are stationary or...

We develop a sequence of tests for specifying the cointegrating rank of, possibly fractional, multiple time series. Memory parameters of observables are treated as unknown, as are those of possible cointegrating errors. The individual test statistics have standard null asymptotics and are...

Moving from univariate to bivariate jointly dependent long-memory time series introduces a phase parameter (γ), at the frequency of principal interest, zero; for short-memory series γ=0 automatically. The latter case has also been stressed under long memory, along with the “fractional...

Nonparametric regression with spatial, or spatio-temporal, data is considered. The conditional mean of a dependent variable, given explanatory ones, is a nonparametric function, while the conditional covariance reflects spatial correlation. Conditional heteroscedasticity is also allowed, as well...

We study problems of semiparametric statistical inference connected with long-memory covariance stationary time series, having spectrum which varies regularly at the origin: There is an unknown self-similarity parameter, but elsewhere the spectrum satisfies no parametric or smoothness...

This teaching note reports and evaluates an initiative to enhance first-year accounting students' written communication skills in a large class setting. The procedures adopted are outlined and empirical evidence of the effectiveness of these procedures in enhancing writing skills is provided....