This paper considers adaptive estimation in nonstationary autoregressive moving average models with the noise sequence satisfying a generalised autoregressive conditional heteroscedastic process. The locally asymptotic quadratic form of the log-likelihood ratio for the model is obtained. It is...

The purpose of this paper is to use Bahadur’s asymptotic relative efficiency measure to compare the performance of various tests of autoregressive (AR) versus moving average (MA) error processes in regression models. Tests to be examined include non-nested procedures of the models against each...

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...