In this paper, we study maximum likelihood estimation and Lagrange multiplier testing of a one-way error components regression model suitable for incomplete panel and including parametrically specified variance functions for both individual-specific and general error disturbances.

The problem of approximating a general regression function m(x)= E(Y|X=x) is addressed. As in the case of the classical L2-type projection pursuit regression considered by Hall (1989), we propose to approximate m(x) through a regression of Y given an index, that is a unidimensional projection of X.

In order to obtain exact distributional results without imposing restrictive parametric assumptions, various rank counterparts of the Dickey-Fuller statistic are considered. In particular, a rank counterpart of the score statistic is suggested which appears to have attractive theoretical...

In this paper we address the issue of the efficient estimation of the cointegrating vector in linear regression models with variables that follow general (higher order and fractionally) integrated processes.

The Seasonal Adjustment Research Appraisal committee was created in Italy to evaluate procedures for seasonal adjustment of economic series. Because the TRAMO-SEATS programs were one of the main procedures considered, the committee sent a selection of 11 series of interest to be analysed. This...

We propose a new method, the "Auto-SLEX" method, for analyzing bivariate non-stationary processes. The Auto-SLEX method is a procedure that automatically segments the time series into approximatively stationary blocks and automatically estimates the time-varying spectra and coherence.

The seminal study by Fama and MacBeth (1973) initiated a stream of papers testing for the cross-sectional relation between return and risk. The debate wether beta is a valid measure of risk has been renimated by Fama and French (1992) and subsequent studies. Rather than focusing on exogenous...

A unit root test is usually carried out by using the regression test introduced by Dickey and Fuller (1979). Under the null hypothesis the series should be a random walk. But a non-stationary series can usually be decomposed into a random walk and a stationary component. This is what is done in...

This paper proposes a range of parametric and nonparametric corrections to the GPH estimator of the differencing parameter in a fractionally integrated process. It is argued that the GPH estimator can suffer from an identification problem at the very low frequencies in the spectrum in small samples.

Indirect estimation methods are proposed for estimating univariate ARFIMA , as well as more complex multivariate VARFIMA models. Special attention is given to comparing the finite sampling properties of the indirect estimator with Sowell's (1992a) exact time domain maximum likelihood estimator...