An issue that arises in applications involving the ARCH-in-Mean (ARCH-M) model is whether or not the error variance is constant over time. A proper statistical formulation of this as a test of hypothesis presents two difficulties. First, the model does not satisfy the standard regularity...

This paper develops a time domaine score statistic for testing fractional integration at zero and seasonal frequencies in quarterly time series models.

This paper investigates the relationships among real, monetary and financial variables in the Australian economy using seasonally unadjusted monthly data series spanning the period January 1978 to June 1994.

Since an analysis of seasonal fluctuation appeared to shed light on the nature of business cycles, testing for seasonal pattern in time series has been given considerable attention in the recent literature. It is also well-known that many economic and financial time series exhibit strong...

Recently, it has been shown that seasonal and business cycles are related and a similar economic mechanism is at work in producing both types of cycles. Thus, an analysis of seasonal fluctuations shed light on the nature of the business cycle. This paper uses the LM-type tests proposed by Canova...