We provide a method for distinguishing long-range dependence from deterministic trends such as structural breaks. The method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered counterpart. The difference of these estimators...

Markov Chains are introduced by only assuming some knowledge of the notion of probability. The modelling of a situation in a context of biology gives the opportunity to students to approach various concepts of probability theory themselves.

In this paper the performance of different information criteria for simultaneous model class and lag order selection is evaluated using simulation studies. We focus on the ability of the criteria to distinguish linear and nonlinear models. In the simulation studies, we consider three different...

This paper provides a multivariate score-type test to distinguish between true and spurious long memory. The test is based on the weighted sum of the partial derivatives of the multivariate local Whittle likelihood function. This approach takes phase shifts in the multivariate spectrum into...

Prediction in time series models with a trend requires reliable estima- tion of the trend function at the right end of the observed series. Local polynomial smoothing is a suitable tool because boundary corrections are included implicitly. However, outliers may lead to unreliable estimates, if...

We investigate the behavior of nonparametric kernel M-estimators in the presence of long-memory errors. The optimal bandwidth and a central limit theorem are obtained. It turns out that in the Gaussian case all kernel M-estimators have the same limiting normal distribution. The motivation behind...

This paper investigates the finite-sample properties of the smooth transition-based cointegration test proposed by Kapetanios et al. (2006) when the data generating process under the alternative hypothesis is a globally stationary second order LSTR model. The provided procedure describes an...

This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy and Spain and using German interest rates as a kind of benchmark. The results reported here provide evidence for breaks between 2006 and 2008. The persistence of the yield...

The accuracy of measuring credit risk directly decides on the interest on credit, which has to be paid when raising a credit, and the amount of capital to keep in reserve by a firm. The structural credit risk model proposed by Merton (1974) lays the groundwork for the assessment of a firm's...

Several modified estimation methods of the memory parameter have been introduced in the past years. They aim to decrease the upward bias of the memory parameter in cases of low frequency contaminations or an additive noise component, especially in situations with a short-memory process being...