We propose a three-step local polynomial procedure for a multivariate nonparametric regression in which the errors are autocorrelated. The proposed estimator uses all sample points to estimate m(x), the regression function evaluated at point x, but the contributions from all non-local points are...

We propose to estimate heteroskedastic dynamic factor models using the Kalman filter, where the state vector is augmented with the heteroskedastic disturbances. Although this model is not conditionally Gaussian, Monte Carlo results show that parameters can be accurately estimated.

This paper provides an estimation method for a two way error component regression model where the time-varying disturbances are serially correlated, following a special AR (4) process for quarterly data. The variance-covariance matrix of the compound error terms and its spectral decomposition...

This paper used Monte Carlo simulations to analyze the small sample properties of cross-sectionally augmented panel unit root test (CIPS test). We considered situations involving two types of time-series heteroskedasticity (unconditional and ARCH) in the unobserved common factor and...

Using households with a pair of male-female siblings from DHS surveys, this paper estimates gender based within-household inequality in immunization status of children (aged 1-5 years) from Bangladesh, India, Nepal and Pakistan. I find substantial level of gender based within-household...

This paper introduces the fractionally integrated Bi-parameter smooth transition autoregressive model (FI-BSTAR model) as an extension of BSTAR model proposed by Siliverstovs (2005) and the fractionally integrated STAR model (FI-STAR model) proposed by van Dijk et al. (2002). Our FI-BSTAR model...

Theoretical constraints on economic model parameters often are in the form of inequality restrictions. For example, many theoretical results are in the form of monotonicity or nonnegativity restrictions. Inequality constraints can truncate sampling distributions of parameter estimators, so that...

This paper derives the linear interpolation bias of realized volatility. To avoid the bias, the Fourier series estimator has been proposed by Malliavin and Mancino (2002). We examine the theoretical relationship between the Fourier estimator and realized volatility and show that the latter is...

In this paper we present explanation on the phenomenon pointed out in Cook and Manning (2002) on the unusual behaviour of the Dickey-Fuller test in the presence of trend misspecification. It appears that the rejection frequency of the unit root tests in the presence of trend misspecification is...

In this paper we study the characteristics of the non stationarity of the covariance structure of the S\&P 500 returns by analyzing the time spectral density of the data. We show that the S\&P 500 returns has the same characteristics as the modulate white noise process. So, some precautions must...