We show that it is possible to adapt to nonparametric disturbance autocorrelation in time series regression in the presence of long memory in both regressors and disturbances by using a smoothed nonparametric spectrum estimate in frequency-domain generalized least squares. When the collective...

Smooth nonparametric kernel density and regression estimators are studied when the data is strongly dependent. In particular, we derive Central (and Noncentral) Limit Theorems for the kernel density estimator of a multivariate Gaussian process and infinite-order moving average of an independent...

This paper provides limit theorems for special density matrix estimators and functionals of it for a bivariate co variance stationary process whose spectral density matrix has singularities not only at the origin but possibly at some other frequencies, and thus applies to time series exhibiting...

The paper examines a Lagrange Multiplier type test for the constancy of the parameter in general models with dependent data without imposing any artificial choice of the possible location of the break. In order to prove the asymptotic behaviour of the test, we extend a strong approximation...

The paper examines a Lagrange Multiplier type test for the constancy of the parameter in general models with dependent data without imposing any arti…cial choice of the possible location of the break. In order to prove the asymptotic behaviour of the test, we extend a strong approximation...

We consider an omnibus test for the correct speci…cation of the dynamics of a sequence fx (t)gt2Zd in a lattice. As it happens with causal models and d = 1, its asymptotic distribution is not pivotal and depends on the estimator of the unknown parameters of the model under the null hypothesis....

The paper examines a Lagrange Multiplier type test for the constancy of the parameter in general models with dependent data without imposing any arti…cial choice of the possible location of the break. In order to prove the asymptotic behaviour of the test, we extend a strong approximation...

The paper examines a Lagrange Multiplier type test for the constancy of the parameter in general models with dependent data without imposing any artificial choice of the possible location of the break. In order to prove the asymptotic behaviour of the test, we extend a strong approximation...

Order selection based on criteria by Akaike (1974), AIC, Schwarz (1978), BIC or Hannan and Quinn (1979) HIC is often applied in empirical examples. They have been used in the context of order selection of weakly dependent ARMA models, AR models with unit or explosive roots and in the context of...

This paper is concerned with various issues related to inference in large dynamic panel data models (where both n and T increase without bound) in the presence of, possibly, strong cross-sectional dependence. Our first aim is to provide a Central Limit Theorem for estimators of the slope...