The Characteristic Function from a Family of Truncated Normal Distributions -- Solution proposed by Karim Abadir and Tassos Magdalinos. The posers of the problem have raised an important question. We can offer a solution to a more general problem, which covers characteristic functions of...

We study the optimal choice of quasi-likelihoods for nearly integrated, possibly non-normal, autoregressive models. It turns out that the two most natural candidate criteria, minimum Mean Squared Error (MSE) and maximum power against the unit root null, give rise to different optimal...

Hypergeometric functions are a generalization of exponential functions. They are explicit, computable functions that can also be manipulated analytically. The functions and series we use in quantitative economics are all special cases of them. In this paper, a unified approach to hypergeometric...

We establish asymptotic normality of weighted sums of stationary linear processes with general triangular array weights and when the innovations in the linear process are martingale differences. The results are obtained under minimal conditions on the weights and as long as the process of...

We propose a class of statistics where the direction of one of the alternatives is incorporated. It is obtained by modifying a class of multivariate tests with elliptical confidence regions, not necessarily arising from normal-based distribution theory. The resulting statistics are easy to...

This note derives an explicit formula for the numerical calculation of the square root of a matrix, when this function exists. An example is given as an illustration of the formula. The condition for the existence of the square root is also given

This note analyzes the recent global recession: its causes, the predictability of the timing of its start and of its end, and the implications for macro policy. These follow from the general-equilibrium macro model of Abadir and Talmain (2002) and its implications for a new type of...

This paper extends the classical local Whittle estimation procedure of the memory parameter to fractionally-integrated I(d) processes for d∈(-3/2,∞), covering stationary and nonstationary regions. We introduce the concepts of fully-extended discrete Fourier transform and periodogram. We...

This paper deals with the estimation of the long-run variance of a stationary sequence. We extend the usual Bartlett-kernel heteroskedasticity and autocorrelation consistent (HAC) estimator to deal with long memory and antipersistence. We then derive asymptotic expansions for this estimator and...