Here we obtain difference equations for the higher order moments and cumulants of a time series {Xt} satisfying an INAR(p) model. These equations are similar to the difference equations for the higher order moments and cumulants of the bilinear time series model. We obtain the spectral and...

This paper presents an initial review of the theoretical and measurement discussions of sustainability and its relation to human development. As we show in this paper, there is an overall consensus about the importance of sustaining development and well-being over time, but in reality different...

We present a test of the null hypothesis of stationarity against unit root alternatives for panel data that allows for arbitrary cross- sectional dependence. We treat the short run time series dynamics non- parametrically and thus avoid the need to fit separate models for the individual series....

In this paper, we extend earlier work of Freeland and McCabe (2004) and develop a general framework for maximum likelihood (ML) estimation of higher-order integer-valued autoregressive (INAR(p)) processes. Our exposition includes the case where the innovation sequence has a Poisson distribution...

This paper provides a general methodology for testing for dependence in time series data, with particular emphasis given to non-Gaussian data. A dynamic model is postulated for a continuous latent variable and the dynamic structure transferred to the non-Gaussian, possibly discrete,...

Using the stochastic integration/cointegration framework of Harris, McCabe and Leybourne (2002) we revisit the problem of assessing the empirical evidence for or against the present value class of models in the bond and stock markets. This framework allows for volatility in excess of that...