A novel simulation-based methodology is proposed to test the validity of a set of marginal time series models, where the dependence structure between the time series is taken "directly" from the observed data. The procedure is useful when one wants to summarize the test results for several time...

In this article we introduce a new class of test statistics designed to detect the occurrence of abnormal observations. It derives from the joint distribution of moment- and quantile-based estimators of power variation sigma^r, under the assumption of a normal distribution for the underlying...

Three models are presented: AR (autoregressive), MA (moving average) and ARMA (autoregressive moving average) are common models used in time series forecasting. These three models are the various definition of each element of the General Linear Model: Y = a + b + c. For the study of linear...

This paper derives the exact distribution of the maximum likelihood estimator of a first order linear autoregression with exponential innovations. We show that even if the process is stationary, the estimator is $T$-consistent, where $T$ is the sample size. In the unit root case the estimator is...

Factor based forecasting has been at the forefront of developments in the macroeconometric forecasting literature in the recent past. Despite the flurry of activity in the area, a number of specification issues such as the choice of the number of factors in the forecasting regression, the...

Several central banks have adopted inflation targets. The implementation of these targets is flexible; the central banks aim to meet the target over the long term but allow inflation to deviate from the target in the short-term in order to avoid unnecessary volatility in the real economy. In this...

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across...

While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving the process is largely build upon a priori economic belief rather than a thorough statistical modeling procedure. The two prevailing time series models, i.e. the exponential...

A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics are modelled both exogenously and deterministic, captured by a nonparametric curve estimation on equidistant centered returns. We prove consistency and asymptotic normality of a...