Robinson and Marinucci (1998) investigated the asymptotic behaviour of a narrow-band semiparametric procedure termed Frequency Domain Least Squares (FDLS) in the broad context of fractional cointegration analysis. Here we restrict to the standard case when the data are I(1) and the cointegrating...

Developments in the vast and growing literatures on nonparametric and semiparametric statistical estimation are reviewed. The emphasis is on useful methodology--rather than statistical properties for their own sake. Some empirical applications to economic data are described. The paper deals...

In a somewhat general context, the author calculate s the order in probability of the difference between consistent roots of rival estimating equations, with application to point estimates i n parametric and nonparametric models, interval estimates, and test s tatistics. Differences in the...

One type of semiparametric regression is b8X A u(Z), where b and u(Z) are an unknown slope coefficient vector and function. Estimates of b based on incorrect parametrization of u are generally inconsist ent, whereas consistent nonparametric estimates converge slowly. An e stimate, bC, is...

There is frequently interest in testing that a scalar or vector time series is I(0), possibly after first-differencing or other detrending, while the I(0) assumption is also taken for granted in autocorrelation-consistent variance estimation. The authors propose a test for I(0) against...

We study the impact of large cross-sections of contemporaneous aggregation of GARCH processes and of dynamic GARCH factor models. The results crucially depend on the shape of the cross-sectional distribution of the GARCH coefficients and on the cross-sectional dependence properties of the...

his paper deal with aggregation of AR(1) micro variables driven by a common and idiosyncratic shock with random coefficients. We provide a rigorous analysis, based on results on sums of r.v.'s with a possibly finite first moment, of the aggregate variance and spectral density, as the number of...

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. In particular, it is shown that under certain...

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...