A unit root test is usually carried out by using the regression test introduced by Dickey and Fuller (1979). Under the null hypothesis the series should be a random walk and a stationary component. This is what is done in additive decompositions between trend and cycle. The paper analyses the...

We propose a test for spatial correlation in Probit models that is a joint test for exclusion of spatially lagged-dependent variables and absence of spatial-error correlation. We give a maximum-likelihood justification for the test but use a simulations approach rather than relying on its...

The paper is concerned with the estimation of the long memory parameter in a conditionally heteroskedastic model proposed by Giraitis, Robinson and Surgailis (1999). We consider methods based on the partial sums of the squared observations which are similar in spirit to the classicla R/S...