A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long-lasting effect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for inflation,...

-Theory- Two theories about trends in left-right political orientations are juxtaposed: the persistence theory claiming that left-right orientations are highly resistant to change versus the irrelevance theory anticipating a move of mass publics towards the center of the left-right continuum....

Based on simple time series plots and periodic sample autocorrelations, we document that monthly river flow data display long memory, in addition to pronounced seasonality. In fact, it appears that the long memory characteristics vary with the season. To describe these two properties jointly, we...

We discuss how prior regression on seasonal dummies leads to singularities in periodogram regression procedures for the detection of long memory. We suggest a modified procedure. We illustrate the problems using monthly inflation data from Hassler and Wolters (1995).

We discuss specification, frequency domain estimation and application of flexible fractionally integrated seasonal long memory time series models, which allow for 'chi-squared' (seasonal) unit root testing. We suggest periodogram regression and approximate ML estimation. We successfully apply a...

We discuss computational aspects of likelihood-based specification, estimation,inference, and forecasting of possibly nonstationary series with long memory. We use the \\ARFIMA$(p,d,q)$ model with deterministic regressors and we compare sampling characteristics of approximate and exact...

__Abstract__ We test risk attitude and risk propensity of executive and non-executive directors of almost all (read: 10) companies listed at the Suriname Stock Exchange. This stock exchange associates with an emerging market, which currently seems to be at its initial stage. With a personalized...

__Abstract__ In this paper we study the determinants of skilled return migration from the Netherlands to Suriname. Based on a survey of Gibson and McKenzie (2011) we managed to interview 283 former top students from Suriname. This unique database is informative in various dimensions. High...

__Abstract__ Crucial inference for the hierarchical linear model concerns the null hypothesis of no random slope. We argue that the usually applied statistical test suffers from the so-called Davies problem, that is, a nuisance parameter is only identified under the alternative. We propose an...

In this paper we put forward a generalization of the Dynamic Conditional Correlation (DCC) Model of Engle (2002). Our model allows for asset-specific correlation sensitivities, which is useful in particular if one aims to summarize a large number of asset returns. The resultant GDCC model is...