This paper applies the maximum likelihood technique to estimate the parameters of a money demand equation for Switzerland in which there are variable integrated of different orders and in particular of order greater than 1. The estimation method developed by the authors has been explained in...

This paper is concerned with the estimation of cointegrated systems with integrated variables of order greater than 1. Unlike the case of I(1) variables, there are various possibilities of cointegration in the higher order case, which were conveniently formulated in a triangular representation...

Robust automatic selection techniques of the smoothing parameter of a smoothing spline are introduced. They are based on a robust predictive error criterion and can be viewed as robust version of Cp and cross-validation. They lead to smoothing splines which are stable and reliable in terms of...