This paper proposes a Gaussian estimator for nonlinear continuous time models of the short term interest rate. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the finite...

Chen and Deo (2009a) proposed procedures based on restricted maximum likelihood (REML) for estimation and inference in the context of predictive regression. Their method achieves bias reduction in both estimation and inference which assists in overcoming size distortion in predictive hypothesis...

This paper develops a new hedonic method for constructing a real estate price index that utilizes all transaction price information that encompasses both single-sale and repeat-sale properties. The new method is less prone to specification errors than standard hedonic methods and uses all...

This paper develops a new hedonic method for constructing a real estate price index that utilizes all transaction price information that encompasses both single-sale and repeat-sale properties. The new method is less prone to specification errors than standard hedonic methods and uses all...

Time series models are often fitted to the data without preliminary checks for stability of the mean and variance, conditions that may not hold in much economic and financial data, particularly over long periods. Ignoring such shifts may result in fitting models with spurious dynamics that lead...

A new family of kernels is suggested for use in heteroskedasticity and autocorrelation consistent (HAC) and long run variance (LRV) estimation and robust regression testing. The kernels are constructed by taking powers of the Bartlett kernel and are intended to be used with no truncation (or...

Some limit properties for information based model selection criteria are given in the context of unit root evaluation and various assumptions about initial conditions. Allowing for a nonparametric short memory component, standard information criteria are shown to be weakly consistent for a unit...

An asymptotic theory is given for autoregressive time series with a root of the form rho_{n} = 1+c/n^{alpha}, which represents moderate deviations from unity when alpha in (0,1). The limit theory is obtained using a combination of a functional law to a diffusion on D[0,infinity) and a central...

The maximum likelihood estimator (MLE) of the fractional difference parameter in the Gaussian ARFIMA(0,d,0) model is well known to be asymptotically N(0,6/pi2). This paper develops a second order asymptotic expansion to the distribution of this statistic. The correction term for the density is...

The asymptotic local powers of various panel unit root tests are investigated. The power envelope is obtained under homogeneous and heterogeneous alternatives. It is compared with asymptotic power functions of the pooled t-test, the Ploberger-Phillips (2002) test, and a point optimal test in...