In this paper we derive the asymptotic properties of within groups (WG), GMM and LIML estimators for an autoregressive model with random effects when both T and N tend to infinity. GMM and LIML are consistent and asymptotically equivalent to the WG estimator. When T/N-0 the fixed T results for...

We develop methods of non-parametric estimation for the Expected Shortfall of possibly heavy tailed asset returns that leads to asymptotically standard inference. We use a tail-trimming indicator to dampen extremes negligibly, ensuring standard Gaussian inference, and a higher rate of...

Using Gretl, I apply ARMA, Vector ARMA, VAR, state-space model with a Kalman filter, transfer-function and intervention models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR, TARCH, NARCH, APARCH, EGARCH) to analyze quarterly time...

Log periodogram (LP) regression is shown to be consistent and to have a mixed normal limit distribution when the memory parameter d = 1. Gaussian errors are not required. Tests of d = 1 based on LP regression are consistent against d < 1 alternatives but inconsistent against d > 1 alternatives. A test based on a modified LP regression that...</1>

In the present paper we confine ourselves to proposing tests for smooth transition nonlinearity in the presence ou outliers. We consider outlier robust estimation techniques to modify the tests developed by Luukkonen et al

Changing seasonal patterns in economic time series can be described by auregressive models with seasonal unit roots or with deterministic sesaonal mean shifts.By means of simulation we demonstrate the impact of imposing the incorrect model on forecasting. We find for both cases that an...

In this paper we consider model selection for time series with increasing (or decreasing) seasonal variation, where this variation can be described by (seasonal) unit root models with significant deterministic components or by models with less unit roots but with shiftsin seasonal means or trends

The paradox that a parametric approach makes less assumptions than a nonparametric one can be seen as an obstacle for a wider use of frequency domain techniques in econometrics. This paper offers a throrough appraisal of the parametric model in the presence of notoriously short economic time...

Discrete Fourier transforms (dft's) of fractional processes are studied and an exact representation of the dft is given in terms of the component data. The new representation gives the frequency domain form of the model for a fractional process, and is particularly useful in analyzing the...