Monthly time-series data based on agricultural commodities tend to present strong and particular patterns of seasonality. The presence of zero values in some of the seasons is not explained by the absence of reporting but is the result of actual features of agricultural processes. Seasonal unit...

This study examines the sustainability of trade deficit with allowance of structural breaks and seasonal adjustments as both variables have been subject to structural changes and affected by seasons. We find that, in all the cases, there is long run relationship between export and import. This...

This study seeks to validity of the export-led growth hypothesis using quarterly data from 1980 to 2005. The bounds testing approach to cointegration is employed to test the causal relationship between industrial production, exports and terms of trade. An augmented form of Granger causality...

We investigate the use of subsampling for conducting inference about the quadratic variation of a discretely observed diffusion process under an infill asymptotic scheme. We show that the usual subsampling method of Politis and Romano (1994) is inconsistent when applied to our inference...

In a panel data model with fixed effects, possible cross-sectional dependence is investigated in a spatial autoregressive setting. An Edgeworth expansion is developed for the maximum likelihood estimate of the spatial correlation coefficient. The expansion is used to develop more accurate...

The cleanup of the Mediterranean region constitutes one of the main chapters carried by the cooperation between both north and south banks within the framework of the Union for the Mediterranean (UfM). The subject of this paper is to study the relationship between CO2 emissions and economic...

A dynamic panel data model is considered that contains possibly stochastic individual components and a common stochastic time trend that allows for stationary and nonstationary long memory and general parametric short memory. We propose four different ways of coping with the individual effects...

We propose an econometric model that captures the e¤ects of market microstructure on a latent price process. In particular, we allow for correlation between the measurement error and the return process and we allow the measurement error process to have a diurnal heteroskedasticity. We propose a...

In this work we proposed to analyze the problem of individual heterogeneity in panel data and implement resolution to verify the role of foreign trade on economic growth in Sub-Saharan Africa. The purpose was to verify improvement in terms of specification and estimation of economic growth...

Moving from univariate to bivariate jointly dependent long memory time series introduces a phase parameter (γ), at the frequency of principal interest, zero; for short memory series γ = 0 automatically. The latter case has also been stressed under long memory, along with the "fractional...