An exact form of the local Whittle likelihood is studied with the intent of developing a general purpose estimation procedure for the memory parameter (d) that applies throughout the stationary and nonstationary regions of d and which does not rely on tapering or differencing prefilters. The...

This paper presents tests of the Cagan hyperinflation-money demand model which have several advantages relative to those in the literature. They do not confound specification error and rational bubbles, are implementable with a linear procedure, and are frequently able to detect the periodically...

Standard autocorrelation corrections applied to cointegrating regressions can lead to erroneous first-differencing. Such outcomes are shown to be possible under a range of environments, including cases with autocorrelation coefficients substantially less than 1. First-differencing of a...

Model selection and associated issues of post-model selection inference present well known challenges in empirical econometric research. These modeling issues are manifest in all applied work but they are particularly acute in multivariate time series settings such as cointegrated systems where...

Determinants of economic growth in Ghana are analysed using restricted vector autoregressive (VAR) model for the period 1975-2013. The empirical results reveal that GDP per capita in long-run is driven by export, oil and mineral rents while government consumption retard economic growth....