type="main" xml:id="jtsa12091-abs-0001"In this article, we propose a new joint portmanteau test for checking the specification of parametric conditional mean and variance functions of linear and nonlinear time-series models. The use of a joint test is motivated for complete control of the...

We analyse asymptotic properties of the discrete Fourier transform and the periodogram of time series obtained through (truncated) linear filtering of stationary processes. The class of filters contains the fractional differencing operator and its coefficients decay at an algebraic rate,...

We analyse consistent estimation of the memory parameters of a nonstationary fractionally cointegrated vector time series. Assuming that the cointegrating relationship has substantially less memory than the observed series, we show that a multi-variate Gaussian semi-parametric estimate, based on...

We consider bivariate regressions of nonstationary fractionally integrated variables dominated by linear time trends. The asymptotic behaviour of the ordinary least square (OLS) estimators in this case allows limiting normality to arise at a faster rate of convergence than if the individual...