An information matrix of a parametric model being singular at a certain true value of a parameter vector is irregular. The maximum likelihood estimator in the irregular case usually has a rate of convergence slower than the Ín-rate in a regular case. We propose to estimate such models by the...

This survey paper discusses the Cointegrated Vector AutoRegressive (CVAR) methodology and how it has evolved over the past 30 years. It describes major steps in the econometric development, discusses problems to be solved when confronting theory with the data, and, as a solution, proposes a...

This paper shows that a qualitative analysis, i.e., an assessment of the consistency of a hypothesized sign pattern for structural arrays with the sign pattern of the estimated reduced form, can always provide decisive insight into a model's validity both in general and compared to other models....

We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically...

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...

This survey reviews the large and growing literature on the use of pair-copula constructions (PCCs) in financial applications. Using a PCC, multivariate data that exhibit complex patterns of dependence can be modeled using bivariate copulae as simple building blocks. Hence, this model represents...

Linear programming model and general reciprocity theorem in mathematical programming are used to ap-proach utility functions of six large-scale Russian (the Moscow Region) case farms representing different production patterns. Technological coefficients of linear programmes are defined by means...

The article represents a construction of a quarterly econometric model of the Slovenian economy and an analysis of fundamental relationships of the Slovenian economy. For this purpose we formed a system of identities, consistent with the national accounts, and of stochastic equations, consistent...

The standard Vector Error Correction Model (VECM) approach to investigating the underlying dynamics of economic variables assumes a constant co-integration space. This paper relaxes this assumption by implementing a regime switching VECM that allows for shifts in both the drift and the long-run...