The paper contains some implications for applied econometric research. Two important ones are, first, that invertible models, such as AR or VAR models, cannot in general be used to model seasonally adjusted or detrended data. The second one is that to look at the business cycle in detrended...

The paper deals with estimation of missing observations in possibly nonstationary ARIMA models. First, the model is assumed known, and the structure of the interpolation filter is analysed. Using the inverse or dual autocorrelation function it is seen how estimation of a missing observation is...

This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions of the tests for cointegration proposed by Johansen. The paper provides accurate tables of asymptotic critical values. A program which can be used to calculate both...

A consistent estimator for the spectral density of a stationary random process can be obtained by smoothing the periodigrams across frequency. An important component of smoothing is the choice of the span. In this paper, we propose a span selector originally developed for use in fitting...

This paper investigates the stability of households' consumption behaviour in France through a prcedure of discriminating between feedback and feedforward models connected to the notions of encompassing in invariance initially proposed by Hendry (1988).

We propose twp multivariate long-memory ARCH models, which extend the univariate long-memory models by Ding and Granger (1996) and Baillie, Bollerslev and Mikkelsen (1996). We consider a long-memory extension of the restricted constant conditional correlations (CCC) model introduced by...

In this paper, we consider a GARCH equation where the coefficients depend on the state of a non-observed Markov chain. First we establish necessary and sufficient conditions ensuring the existence of a stationary solution. Next, in the case of ARCH regimes, we show that the maximum likelihood...

The paper proposes an original class of conditionally heteroskedastic models aimed to capture contemporaneous asymmetry. Not only past up and down moves of stock market returns have different impacts on the conditional variance, but also, positive and negative changes are governed by different...

A variety of statistical methods and econometric techniques can be used attempting to disentangle the non-cyclical trend component of a time series and its purely cyclical part. This paper serves the purpose to demonstrate the potential contribution from the use of unobserved components...