In this paper we propose a new methodology for selecting the window length in Singular Spectral Analysis in which the window length is determined from the data prior to the commencement of modeling. The selection procedure is based on statistical tests designed to test the convergence of the...

A test is derived for short-memory correlation in the conditional variance of strictly positive, skewed data. The test is quasi-locally most powerful (QLMP) under the assumption of conditionally gamma data. Analytical asymptotic relative efficiency calculations show that an alternative test,...

In recent years, analysis of financial time series has focused largely on data related to market trading activity. Apart from modelling the conditional variance of returns within the GARCH family of models, presently attention has also been devoted to other market variables, especially volumes,...

A Bayesian Markov Chain Monte Carlo methodology is developed for estimating the stochastic conditional duration model. The conditional mean of durations between trades is modelled as a latent stochastic process, with the conditional distribution of durations having positive support. The sampling...

The paper is concerned with the analysis of strike data in which the distribution of short strikes differs from that of long strikes. It appears through visual inspection and asymptotic prodecures that for Israeli strikers in the years 1965-1992, the hazard function is exponential for strikes...

The parameters in duration models are usually estimated by a Quasi Maximum Likelihood Estimator [QMLE]. This estimator is efficient if the errors are iid and exponentially distributed. Otherwise, it may not be the most efficient. Motivated by this, a class of estimators has been introduced by...

A crucially important advantage of the semiparametric regression approach to the nonlinear autoregressive conditional duration (ACD) model developed in Wongsaart et al. (2011), i.e. the so-called Semiparametric ACD (SEMI-ACD) model, is the fact that its estimation method does not require a...

This paper proposes a semiparametric method for estimating duration models when there are inequality constraints on some parameters and the error distribution may be unknown. Thus, the setting considered here is particularly suitable for practical applications. The parameters in duration models...

This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined.

This paper proposes two simple and new specification tests based on the use of an orthogonal series for a considerable class of cointegrated time series models with endogeneity and nonsta-tionarity. The paper then establishes an asymptotic theory for each of the proposed tests. The first test is...