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...

A novel estimation method for two classes of semiparametric scalar diffusion models is proposed: In the first class, the diffusion term is parameterised and the drift is left unspecified, while in the second class only the drift term is specified. Under the assumption of stationarity, the...

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...

Novel transition-based misspeci?cation tests of semiparametric and fully parametric univariate diffusion models based on the estimators developed in Kristensen (Journal of Econometrics, 2010) are proposed. It is demonstrated that transition-based tests in general lack power in detecting local...

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...