The paper considers testing whether the mean trend of a nonstationary time series is of certain parametric forms. A central limit theorem for the integrated squared error is derived, and a hypothesis-testing procedure is proposed. The method is illustrated in a simulation study, and is applied...

Estimation of an unstructured covariance matrix is difficult because of its positive-definiteness constraint. This obstacle is removed by regressing each variable on its predecessors, so that estimation of a covariance matrix is shown to be equivalent to that of estimating a sequence of...