Many high frequency economic or financial time series display two empirical characteristics: high kurtosis and positive autocorrelation in the centred and squared observations. The first- order autocorrelation is typically low, and the autocorrelation function decays slowly. These series are...

As environmental issues have become increasingly important in economic research and policy for sustainable development, firms in the private sector have introduced environmental and social issues in conducting their business activities. Such behaviour is tracked by the Dow Jones Sustainable...

We discuss the moment condition for the fractional functional central limit theorem (FCLT) for partial sums of x_{t} = Delta^{-d} u_{t}, where d in (-1/2,1/2) is the fractional integration parameter and u_{t} is weakly dependent. The classical condition is existence of q≥2 and q1/(d+1/2)...

We discuss the moment condition for the fractional functional central limit theorem (FCLT) for partial sums of x_{t}=Delta^{-d}u_{t}, where d in (-1/2,1/2) is the fractional integration parameter and u_{t} is weakly dependent. The classical condition is existence of qmax(2,(d+1/2)^{-1}) moments...

We discuss the moment condition for the fractional functional central limit theorem (FCLT) for partial sums of x(t)=Δ^(-d)u(t), where d є (-1/2,1/2) is the fractional integration parameter and u(t) is weakly dependent. The classical condition is existence of qmax(2,(d+1/2)-¹) moments of the...

This paper develops model selection and averaging methods for moment restriction models. We first propose a focused information criterion based on the generalized empirical likelihood estimator. We address the issue of selecting an optimal model, rather than a correct model, for estimating a...

We introduce test statistics based on generalized empirical likelihood methods that can be used to test simple hypotheses involving the unknown parameter vector in moment condition time series models. The test statistics generalize those in Guggenberger and Smith (2005) from the i.i.d. to the...

Abstract In many spatial applications, agents make discrete choices (e.g. operating or product-line decisions), and applied researchers need econometric techniques that enable them to model such situations. Unfortunately, however, most discrete-choice estimators are invalid when variables and/or...

This paper studies the Minimum Divergence (MD) class of estimators for econometric models specified through moment restrictions. We show that MD estimators can be obtained as solutions to a computationally tractable optimization problem. This problem is similar to the one solved by the...