Using sine and cosine terms as predictors in modeling periodic time series and other kinds of periodic responses is a long-established technique, but it is often overlooked in many courses or textbooks. Such trigonometric regression is straightforward in Stata through applications of existing...

A dynamic multivariate periodic regression model for hourly data is considered. The dependent hourly univariate time series is represented as a daily multivariate time series model with 24 regression equations. The regression coefficients differ across equations (or hours) and vary...

This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d, and containing Breitung's (2002) test as the special case d = 1. It is shown that (i) each member of the family with d 0 is consistent, (ii) the asymptotic distribution depends on d, and thus...

Summary We show that under the alternative hypothesis the Hausman chi-square test statistic can be negative not only in small samples but even asymptotically. Therefore in large samples such a result is only compatible with the alternative and should be interpreted accordingly. Applying a known...

We demonstrate that the process of generating smooth transitions Call be viewed as a natural result of the filtering operations implied in the generation of discrete-time series observations from the sampling of data from an underlying continuous time process that has undergone a process of...

Doctor of Philosophy

This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d, and containing Breitung's (2002) test as the special case d=1. It is shown that (i) each member of the family with d0 is consistent, (ii) the asymptotic distribution depends on d, and thus reflects...

This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d, and containing Breitung's (2002) test as the special case d = 1. It is shown that (i) each member of the family with d 0 is consistent, (ii) the asymptotic distribution depends on d, and thus...