type="main" xml:id="jtsa12064-abs-0001"The consistency of the quasi-maximum likelihood estimator for random coefficient autoregressive models requires that the coefficient be a non-degenerate random variable. In this article, we propose empirical likelihood methods based on weighted-score...

In this essay we provide the basic asymptotic theory that serves as background theory for estimators in time series. We outline concepts of dependence used for stochastic limit theory, covering mixing, mixingale and near epoch dependence properties. We then detail some of the most general...

This paper considers price movements in the oil markets between 2003 and 2010 and seeks to explain the significant trends in this period. It notes that the oil market is by its very nature inherently volatile because of the nature of oil as a storable and exhaustible resource and the influence...

This paper considers tail shape inference techniques robust to substantial degrees of serial dependence and heterogeneity. We detail a new kernel estimator of the asymptotic variance and the exact small sample mean-squared-error, and a simple representation of the bias of the B. Hill (1975) tail...

We establish functional central limit theorems for a broad class of dependent, heterogeneous tail arrays encountered in the extreme value literature, including extremal exceedances, tail empirical processes and tail empirical quantile processes. We trim dependence assumptions down to a minimum...

We develop a consistent conditional moment test of Lp-best predictor functional form, 1p=2. Our main result is a reduction of the nuisance parameter space to the set of integers which greatly simplifies asymptotic theory, and allows for removal of the nuisance parameter in a mechanical fashion....

This paper investigates applications of stable-law limiting theory to model specification tests in which non-linearities are sought in data that exhibit bounded maximal moments. Utilizing the stable-laws allows us for the first time to prove that consistent conditional moment tests (CM) of a...