Recent literature shows that embedding fractionally integrated time series models with spectral poles at the long-run and/or seasonal frequencies in autoregressive frameworks leads to estimators and test statistics with non-standard limiting distributions that must be simulated on a case-by-case...

For the large family of ARMA models with variable coefficients we provide an explicit and computationally tractable solution representation, which yields the fundamental properties of such processes, including the Wold-Cramer decomposition and the covariance structure. These results are founded...

In this paper a new class of Instrumental Variables estimator for linear processes and in particular ARMA models is developed. Previously, IV estimators based on lagged observations as instruments have been used to account for unmodelled MA(q) errors in the estimation of the AR parameters. Here...

Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature emerges when not all but only a few variables are aggregated, which generates a mixed frequency model. The MA component is generally neglected, likely to preserve the possibility...

Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature emerges when not all but only a few variables are aggregated, which generates a mixed frequency model. The MA component is generally neglected, likely to preserve the possibility...

This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general...

In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show that the OLS estimators of the regression coefficients are inconsistent but the OLS-based...