This paper develops a fully modified OLS estimator for cointegrating polynomial regressions, i.e. for regressions including deterministic variables, integrated processes and powers of integrated processes as explanatory variables and stationary errors. The errors are allowed to be serially...

This paper develops a fully modified OLS estimator for cointegrating polynomial regressions, i.e. for regressions including deterministic variables, integrated processes and powers of integrated processes as explanatory variables and stationary errors. The errors are allowed to be serially...

The Perron test is the most commonly applied procedure to test for a unit root in the presence of a structural break of unknown timing in the trend function. Deriving the Perron-type test regression from an unobserved component model, it is shown that the test regression in fact is nonlinear in...

Recurrent Support Vector Regression for a Nonlinear ARMA Model with Applications to Forecasting Financial Returns Abstract: Motivated by the recurrent Neural Networks, this paper proposes a recurrent Support Vector Regression (SVR) procedure to forecast nonlinear ARMA model based simulated data...