We use high frequency financial data to proxy, via the realised variance, each day's financial variability. Based on a semiparametric stochastic volatility process, a limit theory shows you can represent the proxy as a true underlying variability plus some measurement noise with known...

An algorithm suggested by Hendry (1999) for estimation in a regression with more regressors than observations, is analyzed with the purpose of finding an estimator that is robust to outliers and structural breaks. This estimator is an example of a one-step M-estimator based on Huber’s skip...

Many real life regression problems exhibit some kind of calender time dependency and it is often of interest to predict the behavior of the regression function along this calender time direction. This can be formulated as a regression model with an added latent time series and the task is to be...

This paper provides a means of accurately simulating explosive autoregressive processes, and uses this method to analyse the distribution of the likelihood ratio test statistic for an explosive second order autoregressive process. Nielsen (2001) has shown that for the asymptotic distribution of...

During extreme hyper-inflations productivity tends to fall dramatically. Yet, in models of money demand in hyper-inflation variables such as real income has been given a somewhat passive role, either assuming it exogenous or to have a negligible role. In this paper we use an empirical...

A vector autoregression with deterministic terms with no restrictions to its characteristic roots is considered. Strong consistency results and also some weak convergence results are given for a number of least squares statistics. These statistics are related to the denominator matrix of the...

A vector autoregression with deterministic terms and with no restrictions to its characteristic roots is considered. Strong consistency results for the least squares statistics are presented. This extends earlier results where deterministic terms have not been considered. In addition the...

This paper addresses the question of whether a conventional approach to cointegration is applicaple to the case where changes are allowed in the parameters for the short term dynamics. We reparametrise a vector autoregressive model such that the short-run parameters exhibiting changes at known...