A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or...

In time series regression with nonparametrically autocorrelated errors, it is now standard empirical practice to construct confidence intervals for regression coefficients on the basis of nonparametrically studentized t-statistics. The standard error used in the studentization is typically...

In time series regressions with nonparametrically autocorrelated errors, it is now standard empirical practice to use kernel-based robust standard errors that involve some smoothing function over the sample autocorrelations. The underlying smoothing parameter b, which can be defined as the ratio...

The present paper tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the USA. In doing so, we exploit the fact that the flows of disposable income and consumption expenditure on the one hand, and...

This thesis comprises four papers concerning modelling of financial count data. Paper [1], [2] <p> and [3] advance the integer-valued moving average model (INMA), a special case of integer-valued <p> autoregressive moving average (INARMA) model class, and apply the models to the number of <p> stock...</p></p></p>

The paper introduces a new approach to incorporating time dependent overdispersion for Poisson related regression models. To handle the added flexibility in conditional heteroskedasticity in time series count data some wellknown estimators are adapted and a GMM type estimator is suggested. The...

This thesis consists of four papers concerning modelling of count data and tourism demand. For three of the papers the focus is on the integer-valued autoregressive moving average model class (INARMA), and especially on the INAR(1) model. The fourth paper studies the interaction between...

This thesis comprises two papers concerning modelling of financial count data. The papers advance the integer-valued moving average model (INMA), a special case of integer-valued autoregressive moving average (INARMA) model class, and apply the models to the number of stock transactions in...

The effects of temporal aggregation on asymmetry properties and the kurtosis of returns based on the NYSE composite index are studied. There is less asymmetry in responses to shocks for weekly and monthly frequencies than for the daily frequency. Kurtosis is not smaller for the lower frequencies.

A vector integer-valued moving average (VINMA) model is introduced. <p> The VINMA model allows for both positive and negative correlations <p> between the counts. The conditional and unconditional first and second <p> order moments are obtained. The CLS and FGLS estimators are discussed. <p> The model is...</p></p></p></p>