In this paper the performance of information criteria and a test against SETAR nonlinearity for outlier contaminated time series are investigated. Additive outliers can seriously influence the properties of the underlying time series and hence of linearity tests, resulting in spurious test...

Outlying observations in time series influence parameter estimation and testing procedures, leading to biased estimates and spurious test decisions. Further inference based on these results will be misleading. In this paper the effects of outliers on the performance of ratio-based tests for a...

The occurrence of decision problems with changing roles of null and alternative hypotheses has increased interest in extending the classical hypothesis testing setup. Particularly, confirmation analysis has been in the focus of some recent contributions in econometrics. We emphasize that...

It is generally believed that for the power of unit root tests, only the time span and not the observation frequency matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and volatility clustering, as is typically the case for...

This paper inspects a grid search algorithm to estimate the AR(1) process, based on the joint estimation of the canonical AR(1) equation along with its reverse form. The method relies on the GLS principle, accounting for the covariance error structure of the special estimable system....

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...

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...

We make use in this article of a testing procedure suggested by Robinson (1994) for testing deterministic seasonality versus seasonal fractional integration. A new test statistic is developed to simultaneously test both, the order of integration of the seasonal component and the need of seasonal...

We show in this article that fractionally integrated univariate models for GDP may lead to a better replication of business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well as by the other short run components of...

This article provides an introduction to methods and challenges underlying application of the bootstrap in econometric modelling of economic and financial time series. Validity, or asymptotic validity, of the bootstrap is discussed as this is a key element in deciding whether the bootstrap is...