We consider statistical inference for multivariate fractionally integrated time series models using a computationally simple conditional likelihood procedure which has recently been shown to be efficient in the univariate case. We show that those results generalize to the present multivariate...

The role of additive outliers in integrated time series has attracted some attention recently and research shows that outlier detection should be an integral part of unit root testing procedures. Recently, Vogelsang (1999) suggested an iterative procedure for the detection of multiple additive...

We propose a Lagrange Multiplier (LM) test of the null hypothesis of cointegration in fractionally cointegrated models. The test statistic utilizes fully modified residuals to cancel the endogeneity and serial correlation biases, and we show that standard asymptotics apply. With i.i.d. Gaussian...

We test for price discontinuities, or jumps, in a panel of high-frequency intraday returns for forty large-cap stocks and an equiweighted index from these same stocks. Jumps are naturally classified into two types: common and idiosyncratic. Common jumps affect all stocks, albeit to varying...

When the consumption growth rate is measured based upon fourth quarter data, it tracks predictable variation in future excess stock returns. Low fourth quarter consumption growth rates predict high future excess stock returns such that expected returns are high at business cycle troughs and low...

This paper examines the limiting properties of the estimated parameters in the random field regression model recently proposed by Hamilton (Econometrica, 2001). Though the model is parametric, it enjoys the flexibility of the nonparametric approach since it can approximate a large collection of...

In this paper consistency and asymptotic normality of the quasi maximum like-lihood estimator in the level-effect ARCH model of Chan, Karolyi, Longstaff and Sanders (1992) is established. We consider explicitly the case where the parameters of the conditional heteroskedastic process are in the...

We calculate numerically the asymptotic distribution functions of likelihood ratio tests for fractional unit roots and cointegration rank. Because these distributions depend on a real-valued parameter, b, which must be estimated, simple tabulation is not feasible. Partly due to the presence of...

We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable, are...

In an important generalization of zero frequency autoregressive unit root tests, Hylleberg, Engle, Granger, and Yoo (1990) developed regression-based tests for unit roots at the seasonal frequencies in quarterly time series. We develop likelihood ratio tests for seasonal unit roots and show that...