Duration series often exhibit long-range dependence and local nonstationarities. Here, exponential FARIMA (EFARIMA) and exponential SEMIFAR (ESEMIFAR) models are introduced. These models capture simultaneously nonstationarities in the mean as well as short- and long-range dependence, while...

We investigate the behavior of nonparametric kernel M-estimators in the presence of long-memory errors. The optimal bandwidth and a central limit theorem are obtained. It turns out that in the Gaussian case all kernel M-estimators have the same limiting normal distribution. The motivation behind...

Prediction in time series models with a trend requires reliable estimation of the trend function at the right end of the observed series. Local polynomial smoothing is a suitable tool because boundary corrections are included implicitly. However, outliers may lead to unreliable estimates, if...

A flexible class of anisotropic stationary lattice processes with long memory can be defined in terms of a two-way fractional ARIMA (FARIMA) representation. We consider parameter estimation based on minimizing an approximate residual sum of squares. The method can be applied to sampling areas...

This paper investigates the impact of refugees on a developing host country's bilateral trade with the source country using a Vector Error Correction model and Granger causality tests. Using the largest case of refugee settlements in the world, we look at how refugees moving over several decades...

This article examines the impact of Confucius Institutes on inbound travel to China. We estimate a panel gravity model of inbound tourism flows to China between 2004 and 2010. We use a Poisson pseudo-maximum likelihood estimator to control for heteroscedasticity endemic in gravity models (Santos...