The rank of the spectral density matrix conveys relevant information in a variety of statistical modelling scenarios. This note shows how to estimate the rank of the spectral density matrix at any given frequency. The method presented is valid for any hermitian positive definite matrix estimate...

This paper describes artificial neural network based pure significance tests for the unit root hypothesis against nonlinear alternatives. The theoretical properties of the tests are discussed and a Monte Carlo investigation of their small sample properties is undertaken. Copyright 2003 Blackwell...

In this paper we provide tests for the unit-root hypothesis against the occurrence of an unspecified number of breaks which may be larger than 2 but smaller that the maximum number of breaks allowed, m, in univariate time-series models. The advocated procedure is considerably less...