Contemporaneous aggregation of asymptotically stationary AR(1) processes is considered where the squared random coefficients are beta-distributed. Based on the sample correlation coefficients for the individual AR(1) processes, an estimator for the parameters of the underlying beta distribution,...

This paper analyses a class of nonlinear time series models exhibiting long memory. These processes exhibit short memory fluctuations around a local mean (regime) which switches randomly such that the durations of the regimes follow a power law. We show that if a large number of independent...

We discuss the increasing literature on misspecifying structural breaks or more general trends as long range dependence. We consider tests on structural breaks in the long-memory regression model as well as the behaviour of estimators of the memory parameter when structural breaks or trends are...

We show that there is strong evidence of long-range dependence in the volatilities of several German stock returns. This will be done by estimating the memory parameter of the absolute returns with classical log-periodogram regression as well as by employing the tapered periodogram. Both...

We show that small trends do not influence log-periodogram based estimators for the memory parameter in a stationary invertible long-memory process. In the case of slowly decaying trends which are easily confused with long-range dependence we show by Monte Carlo methods that the tapered...

We derive the limiting null distribution of the robust CUSUM-M test and the recursive CUSUM-M test for structural change of the coefficients of a linear regression model with long-memory disturbances. It turns out that the asymptotic null distribution of the CUSUM-M statistic is a fractional...

Cointegration describes the pattern that pairs of time series keep together in long run, although they diverge in short run. A generalisation of this behaviour is the fractional cointegration. Two statistical tests, the M– and ML–test are formulated for fractional cointegration in different...

We investigate the behaviour of S - estimators in the linear regression model, when the error terms are long-memory Gaussian processes. It turns out that under mild regularity conditions S - estimators are still normally distributed with a similar variance - covariance structure as in the i.i.d...

The aim of this paper is to extract mathematically talented students out of a group of arbitrary high school students. We do this by applying a stepwise discriminant analysis modified for ordinal data to the results of German high school students at the international mathematics competition...

We show that the power of the KPSS-test against integration, as measured by divergence rates of the test statistic under the alternative, remains the same when residuals from an OLS-regression rather than true observations are used. This is in stark contrast to residual based tests of the null...