In this paper we consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than models proposed in Granger (1986) and Johansen (2008, 2009). We discuss the identification issues of the model of Avarucci (2007), following...

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...

Most of the estimators suggested for the estimation of spatial autoregressive models are generally inconsistent in the presence of an unknown form of heteroskedasticity in the disturbance term. The estimators formulated from the generalized method of moments (GMM) and the Bayesian Markov Chain...

In this paper, we introduce the one-step generalized method of moments (GMM) estimation methods considered in Lee (2007a) and Liu, Lee, and Bollinger (2010) to spatial models that impose a spatial moving average process for the disturbance term. First, we determine the set of best linear and...

In this paper we consider a fractionally cointegrated error correction model and investigate asymptotic properties of the maximum likelihood (ML) estimators of the matrix of the cointegration relations, the degree of fractional cointegration, the matrix of the speed of adjustment to the...