Time series analysis is a tremendous research area in statistics and econometrics. As remarked in a review by Howell Tong in 2001, for about 100 years up to 2001 Biometrika (alone) published over 400 papers on the subject. [Tong (2001)] Furthermore, in the review, Howell Tong is able break down...

This paper studies the statistical properties of a two-step conditional quantile estimator in nonlinear time series models with unspecified error distribution. The asymptotic distribution of the quasi-maximum likelihood estimators and the filtered empirical percentiles is derived. Three...

Deciding whether a time series that appears nonstationary is in fact fractionally integrated or subject to structural change is a diffcult task. However, various tests have recently been introduced for distinguishing long memory from level shifts and nonlinearity. In this paper, three testing...

We propose an estimation strategy that accounts for two major problems raised in the empirical literature testing for the prevalence of the inverted U-shaped relation between environmental degradation and economic activity, namely the Environmental Kuznets Curve (EKC) hypothesis. First, we use...