Showing 1 - 10 of 25
Efficient semiparametric and parametric estimates are developed for a spatial autoregressive model, containing nonstochastic explanatory variables and innovations suspected to be non-normal. The main stress is on the case of distribution of unknown, nonparametric, form, where series...
Persistent link: https://www.econbiz.de/10010744839
We provide a general class of tests for correlation in time series, spatial, spatiotemporal and cross-sectional data. We motivate our focus by reviewing how computational and theoretical difficulties of point estimation mount as one moves from regularly-spaced time series data, through forms of...
Persistent link: https://www.econbiz.de/10010744843
This paper develops methods of investigating the existence and extent of cointegration in fractionally integrated systems. We focus on stationary series, with some discussion of extension to nonstationarity. The setting is semiparametric, so that modelling is effectively confined to a...
Persistent link: https://www.econbiz.de/10010745024
The central limit theorem for nonparametric kernel estimates of a smooth trend, with linearly-generated errors, indicates asymptotic independence and homoscedasticity across fixed points, irrespective of whether disturbances have short memory, long memory, or antipersistence. However, the...
Persistent link: https://www.econbiz.de/10010745035
Employing recent results of Robinson (2005) we consider the asymptotic properties of conditional-sum-of-squares (CSS) estimates of parametric models for stationary time series with long memory. CSS estimation has been considered as a rival to Gaussian maximum likelihood and Whittle estimation of...
Persistent link: https://www.econbiz.de/10010745068
There is no parity of esteem between academic and vocational qualifications in the labour market. Data from the Labour Force Survey show that on average men and women working full-time with academic qualifications at one level in the national qualifications framework earn about the same as men...
Persistent link: https://www.econbiz.de/10010745259
We show that it is possible to adapt to nonparametric disturbance autocorrelation in time series regression in the presence of long memory in both regressors and disturbances by using a smoothed nonparametric spectrum estimate in frequency-domain generalized least squares. When the collective...
Persistent link: https://www.econbiz.de/10010745610
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...
Persistent link: https://www.econbiz.de/10010745689
Econometric interest in the possibility of long memory has developed as a flexible alternative to, or compromise between, the usual short memory or unit root prescriptions, for example in the context of modelling cointegrating or other relationships and in describing the dependence structure of...
Persistent link: https://www.econbiz.de/10010745718
Evidence is presented for the UK, the US and France that the pace of change in the structure of employment by occupation has not been accelerating. Changes in the occupational structure of employment are taken to proxy changes in the net demand for labour by skill level. Efforts are made to make...
Persistent link: https://www.econbiz.de/10010745730