Researchers seldom find evidence of I(2) in exchange rates, prices, and other macroeconomics time series when they test the order of integration using univariate Dickey-Fuller tests. In contrast, when using the multivariate ML trace test we frequently find double unit roots in the data. Our...

We summarize new results for estimating correlations for use in risk management. These estimates have better behavior than traditional estimation approaches from both a business standpoint and a technical standpoint. We smooth time series using Singular Spectrum Analysis (SSA) and compute...

Data transformations are commonly used across statistics to transform data distributions into distributions with properties that make them more user friendly. In time-series, stationarity is one of the most common assumptions that is violated because the mean and variance are time dependent....

This paper describes how the frequency domain analysis provides an alternative approach to time domain analysis for a given time series. Spectral and periodogram analysis for a given time series are performed to detect trends and seasonalities in the data. A cross-spectral analysis is used to...

The purpose of this paper is to investigate the asymptotic null distribution of stationarity and nonstationarity tests when the distribution of the error term belongs to the normal domain of attraction of a stable law in any finite sample but the error term is an i.i.d. process with finite...

This study tests for the stationarity of aggregate output (GDP at factor cost) and its three major components, namely GDP agriculture, GDP industry and GDP services in the presence of structural breaks during 1950-51 to 2011-12. Results indicate that (i) the GDP has three break points; (ii) GDP...

Time-series analysis of effects of pollutants on emergency hospital admissions indicates important synergistic interactions among pollutants and to a lesser degree nonlinearities in effects of single pollutants. Comparisons of alternative econometric specifications are made to determine the...

Nonparametric unit-root tests are a useful addendum to the tool-box of time-series analysis. They tend to trade off power for enhanced robustness features. We consider combinations of the RURS (seasonal range unit roots) test statistic and a variant of the level-crossings count. This combination...

We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal and cross-sectional dependency in covariates and error processes, covering rather general forms of weak dependence. A sequence of regressions with many regressors using LASSO...