This paper proposes methods for both the consistent estimation of so-called long run canonical correlations (LRCCs) and also testing the null hypothesis that a subset of LRCCs are zero. Two test statistics are proposed and their limiting distribution is derived under the null hypothesis. It is...

Hall's book gives a consistent and accurate account of the academic developments, especially in the time series area, and clearly fills a niche. The level required is that of a graduate student with a good background in econometrics. - Rosario dell'Aquilla, Journal of the American Statistical...

The likelihood function of a seasonal model, Yt=pYt-d+et as implemented in computer algorithms under the assumption of stationary initial conditions is a function of p which is zero at the point p=1. It is a smooth function for p in the above seasonal model with a well-defined maximum regardless...