We study the empirical behaviour of semi-parametric estimation for long-memory models when the true data generating process exhibits a change in persistence. Evidence for long memory is likely to be found. Procedures for discrimination between different models are proposed.

Hausman (1978) developed a widely-used model specification test that has passed the test of time. In this paper, we show that the asymptotic variance of the difference of the two estimators can be a singular matrix. Three illustrative examples are used, namely an exogeneity test for the linear...

Using an empirical likelihood approach, we show that generalized linear models can still be consistently estimated even if dependent variables are not missing at random, and derive a Hausman test by comparing this estimator to the standard one.

IVX estimation is used increasingly often in predictive regressions with regressors of unknown persistence. While not exhibiting the second-order bias the OLS estimator has in this setup, IVX estimators have reduced rates of convergence when the regressors are highly persistent. The reduced...

This article tests the linearity assumption underlying the popular heterogeneous autoregressive model for realized volatility (HAR-RV). We implement a consistent model specification test that is robust to both distributional and model misspecification. We find that, using a nonparametric HAR-RV...

A novel procedure is applied to test for switches between hysteresis and the natural rate theory over more than a century of UK and USA unemployment data. For both the countries we see a period conforming to hysteresis starting in the early 1920s for the UK and 1930 for USA.

We compare the asymptotic local power of upper-tail unit root tests against an explosive alternative based on ordinary least squares (OLS) and quasi-differenced (QD) demeaning/detrending. We find that under an asymptotically negligible initialisation, the QD-based tests are near asymptotically...

The use of recursive demeaning and detrending procedures in unit root tests has been popular in the literature, since they lead to more precise estimation of the persistence parameter and greater power in unit root tests. However, we find that unit root tests using these recursive procedures...

We consider the use of information criteria (IC) on the basis of a semiparametric seasonal error correction model for selecting seasonal cointegrating ranks. Some limit properties of the IC are considered and, through a small Monte Carlo simulation, we evaluate the performance of the IC.

This paper proposes a test for linearity against exponential smooth transition models with endogenous right-hand-side variables: to the very best of our knowledge, this class of models is new to the literature. By Monte Carlo analysis the test is shown to have good finite sample properties.