We consider representation, estimation and inference on cointegration in a periodic vector autoregressive time series model (PVAR). We show that cointegration amounts to a restriction on a product of parameter matrices. We therefore use GMM to construct estimators of the long-run (cointegration)...

In this poper we present a consistent spacification test of a parametric regression function against a general nonparametric alternative. The proposed test is based on wavelet estimation ant it is shown to have similar rates of convergence to the more commonly used kernel based tests.

We construct limiting and small sample distributions of maximum likelihood estimators (mle) from the property that they satisfy the first order condition (foc). The foc relates the mle of the analyzed model to the mle of an encompassing model and shows that the mle of the analyzed model is a...

In this poper we present a consistent spacification test of a parametric regression function against a general nonparametric alternative. The proposed test is based on wavelet estimation ant it is shown to have similar rates of convergence to the more commonly used kernel based tests.

Extremum estimation is typically an ad hoc semi-parametric estimation procedure which is only justified on the basis of the asymptotic properties of the estimators. For a fixed finite data set, consider a large number of investigations using different extremum estimators to estimate the same...

This paper compares the performance of simple inflation targeting (IT) and price-level path targeting (PLPT) rules to stabilize the macroeconomy, in response to a series of shocks, similar to those seen in Canada and the United States over the 1983 to 2004 period. The analysis is conducted in a...

This paper presents a simulation procedure that uses GIS technology for integrating accessibility to services and working places in order to improve modeling of houses values. Most real estate models use simple functions of distance to CBD in order to evaluate access to services and centrality....

This note gives a few practical guidelines for cointegration analysis. The focus is on testing the cointegration rank in a VAR model and on how an intercept and a trend should be incorporated in the model. Only two cases appear relevant for most economic data.

In this paper, we provide both quantitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed.

In this paper, we introduce a new approach for volatility modeling in discrete and continuous time.