We extend the generalized method of moments to a setting where a subset of the parameters may vary over time with unknown dynamics. We approximate the true unknown dynamics by an updating scheme that is driven by the influence function of the conditional criterion function at time t. The updates...

We extend the generalized method of moments to a setting where a subset of the parameters may vary over time with unknown dynamics. We approximate the true unknown dynamics by an updating scheme that is driven by the influence function of the conditional criterion function at time t. The updates...

A Vector Autoregressive model (VAR) with normally distributed innovations is a Curved Exponential Model (CEM). Cointegration imposes further curvature on the model and this means that in addition to the important reasons for conditioning in non-stationary time series as given by Johansen (1995,...

In this paper we consider different periodic extensions of regression models with autoregressive fractionally integrated moving average disturbances for the analysis of daily spot prices of electricity. We show that day-of-the-week periodicity and long memory are important determinants for the...