We consider the long-memory and leverage properties of a model for the conditional variance V of an observable stationary sequence X, where V is the square of an inhomogeneous linear combination of X, s lt; t, with square summable weights b. This model, which we call linear autoregressive...

In this paper, we show the existence, uniqueness and Fréchet differentiability of [psi]-estimates T([mu]):[integral operator]R-[infinity],+[infinity](y,T([mu]))d[mu](y)=0 where [mu] is a stationary ergodic measure on (R-[infinity],+[infinity], B-[infinity],+[infinity] which include M-,...

In this paper we first argue that for a large group of investors, their portfolio and consumption choice problem must be attached a consumption habit constraint. For this new choice problem, by using the Cox amp; Huang martingale approach, we obtain optimal consumption behavior for general...

We consider statistical inference in the presence of serial dependence. The main focus is on use of statistics that are constructed as if no dependence were believed present, and are asymptotically normal in the presence of dependence. Typically the variance in the limit distribution is affected...

In a number of econometric models, rules of large-sample inference require a consistent estimate of f(0), where f (?) is the spectral density matrix of yt = ut?xt, for covariance stationary vectors ut, xt. Typically yt is allowed to have nonparametric autocorrelation, and smoothing is used in...