Last update:
Wed Aug 14 11:57:22 MDT 2024
Christine Amsler and
Peter Schmidt and
Timothy J. Vogelsang The KPSS Test Using Fixed-$b$ Critical
Values: Size and Power in Highly
Autocorrelated Time Series . . . . . . . ??
Syed A. Basher and
Josep Lluís Carrion-i-Silvestre Price Level Convergence, Purchasing
Power Parity and Multiple Structural
Breaks in Panel Data Analysis: An
Application to U.S. Cities . . . . . . . ??
Dennis Kristensen and
Anders Rahbek Asymptotics of the QMLE for Non-Linear
ARCH Models . . . . . . . . . . . . . . ??
Serena Ng and
Jushan Bai Selecting Instrumental Variables in a
Data Rich Environment . . . . . . . . . ??
Stephen D. S. G. Pollock Statistical Fourier Analysis:
Clarifications and Interpretations . . . ??
Yuzhi Cai Autoregression with Non-Gaussian
Innovations . . . . . . . . . . . . . . ??
Matei Demetrescu Panel Unit Root Testing with Nonlinear
Instruments for Infinite-Order
Autoregressive Processes . . . . . . . . ??
Alessio Sancetta and
Arina Nikandrova Forecasting and Prequential Validation
for Time Varying Meta-Elliptical
Distributions . . . . . . . . . . . . . ??
Stefano Grassi and
Tommaso Proietti Has the Volatility of U.S. Inflation
Changed and How? . . . . . . . . . . . . ??
Anders Tolver Jensen and
Theis Lange On Convergence of the QMLE for
Misspecified GARCH Models . . . . . . . ??
Dong Li and
Canh Le Nonlinearity and Spatial Lag Dependence:
Tests Based on Double-Length Regressions ??
Luiz Renato Lima and
Zhijie Xiao Testing Unit Root Based on Partially
Adaptive Estimation . . . . . . . . . . ??
Kasing Man Extended Fractional Gaussian Noise and
Simple ARFIMA Approximations . . . . . . ??
Tucker McElroy and
Marc Wildi Signal Extraction Revision Variances as
a Goodness-of-Fit Measure . . . . . . . ??
J. Isaac Miller A Nonlinear IV Likelihood-Based Rank
Test for Multivariate Time Series and
Long Panels . . . . . . . . . . . . . . ??
W. Robert Reed and
Rachel Webb The PCSE Estimator is Good --- Just Not
As Good As You Think . . . . . . . . . . ??
Alessandro Cardinali and
Guy P. Nason Costationarity of Locally Stationary
Time Series . . . . . . . . . . . . . . 1:1--1:33
Gerdie Everaert Estimation and Inference in Time Series
with Omitted $ {\rm I}(1) $ Variables 2:1--2:26
Daniel Ventosa-Santaul\`aria and
Manuel Gómez-Zaldívar Testing for a Deterministic Trend When
There is Evidence of Unit Root . . . . . 3:1--3:24
Tim Bollerslev and
Bent Jesper Christensen and
Niels Haldrup and
Asger Lunde Periodicity, Non-stationarity, and
Forecasting of Economic and Financial
Time Series: Editors' Introduction . . . 1:1--1:8
Halbert White and
Clive W. J. Granger Consideration of Trends in Time Series 2:1--2:40
Timothy Christensen and
Stan Hurn and
Adrian Pagan Detecting Common Dynamics in Transitory
Components . . . . . . . . . . . . . . . 3:1--3:28
Tomás del Barrio Castro and
Denise R. Osborn Nonparametric Tests for Periodic
Integration . . . . . . . . . . . . . . 4:1--4:35
Michael Jansson and
Morten Òrregaard Nielsen Nearly Efficient Likelihood Ratio Tests
for Seasonal Unit Roots . . . . . . . . 5:1--5:21
David F. Hendry and
Grayham E. Mizon Econometric Modelling of Time Series
with Outlying Observations . . . . . . . 6:1--6:26
Helmut Luetkepohl and
Fang Xu Forecasting Annual Inflation with
Seasonal Monthly Data: Using Levels
versus Logs of the Underlying Price
Index . . . . . . . . . . . . . . . . . 7:1--7:23
Jennifer L. Castle and
Jurgen A. Doornik and
David F. Hendry Evaluating Automatic Model Selection . . 8:1--8:33
Sòren Johansen and
Anders R. Swensen On a Graphical Technique for Evaluating
Some Rational Expectations Models . . . 9:1--9:29
Christian M. Dahl and
Emma Iglesias Modeling the Volatility--Return
Trade-Off When Volatility May Be
Nonstationary . . . . . . . . . . . . . 10:1--10:32
Xilong Chen and
Eric Ghysels and
Fangfang Wang HYBRID GARCH Models and Intra-Daily
Return Periodicity . . . . . . . . . . . 11:1--11:28
John Knight and
Stephen Satchell Some New Results for Threshold AR(1)
Models . . . . . . . . . . . . . . . . . 1:1--1:42
Niels Haldrup and
Antonio Montañes and
Andreu Sansó Detection of Additive Outliers in
Seasonal Time Series . . . . . . . . . . 2:1--2:20
Jorge Belaire-Franch and
Dulce Contreras Nonparametric Unit Root Test and
Structural Breaks . . . . . . . . . . . 3:1--3:14
Shin-Huei Wang and
Christian Hafner Estimating Autocorrelations in the
Presence of Deterministic Trends . . . . 4:1--4:25
Pierre Perron and
Linxia Ren On the Irrelevance of Impossibility
Theorems: The Case of the Long-run
Variance . . . . . . . . . . . . . . . . 1:1--1:34
Markku Lanne and
Pentti Saikkonen Noncausal Autoregressions for Economic
Time Series . . . . . . . . . . . . . . 2:1--2:32
Anders Bredahl Kock Forecasting with Universal Approximators
and a Learning Algorithm . . . . . . . . 3:1--3:32
Pedro A. Morettin and
Clelia M. C. Toloi and
Chang Chiann and
José C. S. de Miranda Wavelet Estimation of Copulas for Time
Series . . . . . . . . . . . . . . . . . 4:1--4:31
Karim M. Abadir and
Rolf Larsson Biases of Correlograms and of AR
Representations of Stationary Series . . 1:1--1:11
Javier Hualde and
Fabrizio Iacone First Stage Estimation of Fractional
Cointegration . . . . . . . . . . . . . 2:1--2:32
Aaron Smith Markov Breaks in Regression Models . . . 3:1--3:35
Rogério F. Porto and
Pedro A. Morettin and
Elisete C. Q. Aubin Regression with Autocorrelated Errors
Using Design-Adapted Haar Wavelets . . . 4:1--4:30
Gareth D. Liu-Evans and
Garry D. A. Phillips Bootstrap, Jackknife and COLS: Bias and
Mean Squared Error in Estimation of
Autoregressive Models . . . . . . . . . 1:1--1:33
Mindy Mallory and
Sergio H. Lence Testing for Cointegration in the
Presence of Moving Average Errors . . . 2:1--2:66
Laurent L. Pauwels and
Felix Chan and
Tommaso Mancini Griffoli Testing for Structural Change in
Heterogeneous Panels with an Application
to the Euro's Trade Effect . . . . . . . 3:1--3:33
Karim M. Abadir The Square Root of a Matrix . . . . . . 4:1--4:5
Theodore Simos On the Exact Discretization of a
Continuous Time $ {\rm AR}(1) $ Model
driven by either Long Memory or
Antipersistent Innovations: A Fractional
Algebra Approach . . . . . . . . . . . . 5:1--5:24
Anonymous Masthead . . . . . . . . . . . . . . . . i--i
Cindy Shin-Huei Wang and
Cheng Hsiao Real-Time Monitoring Test for Realized
Volatility . . . . . . . . . . . . . . . 1--24
Abdelhakim Aknouche Two-Stage Weighted Least Squares
Estimation of Nonstationary Random
Coefficient Autoregressions . . . . . . 25--46
Uwe Hassler and
Henghsiu Tsai Asymptotic Behavior of Temporal
Aggregates in the Frequency Domain . . . 47--60
Tae-Hwy Lee and
Zhou Xi and
Ru Zhang Testing for Neglected Nonlinearity Using
Artificial Neural Networks with Many
Randomized Hidden Unit Activations . . . 61--86
Anonymous Masthead . . . . . . . . . . . . . . . . i--i
Robertas Gabrys and
Siegfried Hörmann and
Piotr Kokoszka Monitoring the Intraday Volatility
Pattern . . . . . . . . . . . . . . . . 87--116
George Milunovich and
Minxian Yang On Identifying Structural VAR Models via
ARCH Effects . . . . . . . . . . . . . . 117--131
Eric Hillebrand and
Marcelo C. Medeiros and
Junyue Xu Asymptotic Theory for Regressions with
Smoothly Changing Parameters . . . . . . 133--162
Aaron Game and
Jason Wu A Covariate Residual-Based Cointegration
Test Applied to the CDS-Bond Basis . . . 163--192
Márcio Poletti Laurini A Hybrid Data Cloning Maximum Likelihood
Estimator for Stochastic Volatility
Models . . . . . . . . . . . . . . . . . 193--229
Anonymous Frontmatter . . . . . . . . . . . . . . i--i
Liqiong Wang Bootstrap Point Optimal Unit Root Tests 1
Anton Skrobotov Bias Correction of KPSS Test with
Structural Break for Reducing of Size
Distortion . . . . . . . . . . . . . . . 33--61
Yong Bao and
Ru Zhang Estimation Bias and Feasible Conditional
Forecasts from the First-Order Moving
Average Model . . . . . . . . . . . . . 63--80
D. S. G. Pollock Cycles, Syllogisms and Semantics:
Examining the Idea of Spurious Cycles 81--102
Anonymous Frontmatter . . . . . . . . . . . . . . i--i
Edward Golosov and
Stephen Satchell Modeling Style Rotation: Switching and
Re-switching . . . . . . . . . . . . . . 103--128
Ryo Okui Asymptotically Unbiased Estimation of
Autocovariances and Autocorrelations
with Panel Data in the Presence of
Individual and Time Effects . . . . . . 129--181
Stelios Arvanitis and
Antonis Demos Valid Locally Uniform Edgeworth
Expansions for a Class of Weakly
Dependent Processes or Sequences of
Smooth Transformations . . . . . . . . . 183--235
Tucker S. McElroy and
Agustin Maravall Optimal Signal Extraction with
Correlated Components . . . . . . . . . 237--273
Anonymous Frontmatter . . . . . . . . . . . . . . i--i
Eiji Kurozumi Testing for Multiple Structural Changes
with Non-Homogeneous Regressors . . . . 1--35
Cameron C. Parker and
Efstathios Paparoditis and
Dimitris Politis Tapered Block Bootstrap for Unit Root
Testing . . . . . . . . . . . . . . . . 37--67
Manabu Asai and
Mike K. P. So Long Memory and Asymmetry for
Matrix-Exponential Dynamic Correlation
Processes . . . . . . . . . . . . . . . 69--94
Martin Burda Constrained Hamiltonian Monte Carlo in
BEKK GARCH with targeting . . . . . . . 95--113
Anonymous Frontmatter . . . . . . . . . . . . . . i--i
James Davidson and
Dooruj Rambaccussing A Test of the Long Memory Hypothesis
Based on Self-Similarity . . . . . . . . 115--141
Benjamin Born and
Matei Demetrescu Recursive Adjustment for General
Deterministic Components and Improved
Cointegration Rank Tests . . . . . . . . 143--179
Nikolaos Vafiadis Forecasting volatility and the
risk-return tradeoff: an application on
the Fama-French benchmark market return 181--216
Rolf Larsson How Close Is a Fractional Process to a
Random Walk with Drift? . . . . . . . . 217--234
Anonymous Frontmatter . . . . . . . . . . . . . . i--i
Robert Sollis Fixed and recursive right-tailed
Dickey-Fuller tests in the presence of a
break under the null . . . . . . . . . . 1--19
Stelios Arvanitis and
Alexandros Louka A Note on the QMLE Limit Theory in the
Non-stationary ARCH(1) Model . . . . . . 21--39
Pierre Nguimkeu An Improved Selection Test between
Autoregressive and Moving Average
Disturbances in Regression Models . . . 41--54
Nima Nonejad Particle Markov chain Monte Carlo
techniques of unobserved component time
series models using Ox . . . . . . . . . 55--90
Anonymous Frontmatter . . . . . . . . . . . . . . i--i
Alain Hecq and
Sébastien Laurent and
Franz C. Palm On the Univariate Representation of BEKK
Models with Common Factors . . . . . . . 91--113
Jean-Marc Bardet and
Béchir Dola Semiparametric Stationarity and
Fractional Unit Roots Tests Based on
Data-Driven Multidimensional Increment
Ratio Statistics . . . . . . . . . . . . 115--153
Marc Wildi and
Tucker McElroy Optimal Real-Time Filters for Linear
Prediction Problems . . . . . . . . . . 155--192
Tarlok Singh International mobility of capital in the
United States: robust evidence from
time-series tests . . . . . . . . . . . 193--249
Thomas Trimbur and
Tucker McElroy Signal Extraction for Nonstationary Time
Series with Diverse Sampling Rules . . . 20140026:1--20140026:37
Fabrizio Iacone and
Stephen J. Leybourne and
A. M. Robert Taylor Testing for a Change in Mean under
Fractional Integration . . . . . . . . . 20150006:1--20150006:8
Chrystalleni Aristidou and
David I. Harvey and
Stephen J. Leybourne The Impact of the Initial Condition on
Covariate Augmented Unit Root Tests . . 20150013:1--20150013:23
Spyridon D. Symeonides and
Yiannis Karavias and
Elias Tzavalis Size corrected Significance Tests in
Seemingly Unrelated Regressions with
Autocorrelated Errors . . . . . . . . . 20150014:1--20150014:14
Naushad Mamode Khan and
Yuvraj Sunecher and
Vandna Jowaheer Analyzing the Full BINMA Time Series
Process Using a Robust GQL Approach . . 20150019:1--20150019:12
Farrukh Javed and
Krzysztof Podgórski Tail Behavior and Dependence Structure
in the APARCH Model . . . . . . . . . . 20160002:1--20160002:48
Bilel Sanhaji Testing for Nonlinearity in Conditional
Covariances . . . . . . . . . . . . . . 20160010:1--20160010:22
Johannes Lips Do They Still Matter? --- Impact of
Fossil Fuels on Electricity Prices in
the Light of Increased Renewable
Generation . . . . . . . . . . . . . . . 20160018:1--20160018:30
Heni Boubaker A Generalized ARFIMA Model with Smooth
Transition Fractional Integration
Parameter . . . . . . . . . . . . . . . 20150001:1--20150001:21
Aurélien Poissonnier The Chow-Lin method extended to dynamic
models with autocorrelated residuals . . 20160007:1--20160007:16
Anton Skrobotov On Trend Breaks and Initial Condition in
Unit Root Testing . . . . . . . . . . . 20160014:1--20160014:14
Zhengjun Jiang and
Weixuan Xia Volatility Modeling with Leverage Effect
under Laplace Errors . . . . . . . . . . 20160019:1--20160019:28
Muhammad Farid Ahmed and
Stephen Satchell What Proportion of Time is a Particular
Market Inefficient? \ldots A Method for
Analysing the Frequency of Market
Efficiency when Equity Prices Follow
Threshold Autoregressions . . . . . . . 20160021:1--20160021:22
Naushad Mamode Khan and
Yuvraj Sunecher and
Vandna Jowaheer A Flexible Observation-Driven Stationary
Bivariate Negative Binomial INAR(1) with
Non-homogeneous Levels of
Over-dispersion . . . . . . . . . . . . 20160028:1--20160028:8
Stanislav Anatolyev and
Grigory Kosenok Sequential Testing with Uniformly
Distributed Size . . . . . . . . . . . . 20170002:1--20170002:22
David Ardia and
Keven Bluteau and
Lennart F. Hoogerheide Methods for Computing Numerical Standard
Errors: Review and Application to
Value-at-Risk Estimation . . . . . . . . 20170011:1--20170011:9
Yuvraj Sunecher and
Naushad Mamode Khan and
Vandna Jowaheer Modelling with Dispersed Bivariate
Moving Average Processes . . . . . . . . ??
Antonis Demos and
Dimitra Kyriakopoulou Finite-Sample Theory and Bias Correction
of Maximum Likelihood Estimators in the
EGARCH Model . . . . . . . . . . . . . . ??
Jinu Lee A Neural Network Method for Nonlinear
Time Series Analysis . . . . . . . . . . ??
Olusegun M. Otunuga and
Gangaram S. Ladde and
Nathan G. Ladde Local Lagged Adapted Generalized Method
of Moments: An Innovative Estimation and
Forecasting Approach and its
Applications . . . . . . . . . . . . . . ??
Alexander Amo Baffour and
Jingchun Feng and
Liwei Fan and
Beryl Adormaa Buanya Forecasting Volatility Returns of Oil
Price Using Gene Expression Programming
Approach . . . . . . . . . . . . . . . . ??
Piotr Kokoszka and
Hong Miao and
Stilian Stoev and
Ben Zheng Risk Analysis of Cumulative Intraday
Return Curves . . . . . . . . . . . . . ??
Bill Kolios Political Business Cycles in Australia
Elections and Party Ideology . . . . . . ??
Paula V. Tófoli and
Flávio A. Ziegelmann and
Osvaldo Candido and
Pedro L. Valls Pereira Dynamic $D$-Vine Copula Model with
Applications to Value-at-Risk (VaR) . . ??
Manabu Asai and
Shelton Peiris and
Michael McAleer and
David E. Allen Cointegrated Dynamics for a Generalized
Long Memory Process: Application to
Interest Rates . . . . . . . . . . . . . ??
Jan G. De Gooijer and
Dawit Zerom Penalized Averaging of Parametric and
Non-Parametric Quantile Forecasts . . . ??
Christian Weiß and
Lukas Scherer and
Boris Aleksandrov and
Martin Feld Checking Model Adequacy for Count Time
Series by Using Pearson Residuals . . . ??
Han Lin Shang A Comparison of Hurst Exponent
Estimators in Long-range Dependent Curve
Time Series . . . . . . . . . . . . . . ??
Jie Chen and
Dimitris N. Politis Time-varying NoVaS Versus GARCH: Point
Prediction, Volatility Estimation and
Prediction Intervals . . . . . . . . . . ??
Tito Lívio and
Marcelo Bourguignon and
Fernando Nascimento INAR(1) Processes with
Inflated-parameter Generalized Power
Series Innovations . . . . . . . . . . . ??
Sebastian Ankargren and
Måns Unosson and
Yukai Yang A Flexible Mixed-Frequency Vector
Autoregression with a Steady-State Prior ??
Alassane Aw and
Emmanuel Nicolas Cabral Bayesian Estimation of the Functional
Spatial Lag Model . . . . . . . . . . . ??
Anonymous Frontmatter . . . . . . . . . . . . . . i--iii
Marko Korhonen and
Mikko Puhakka The Behavior of Divorce Rates: A Smooth
Transition Regression Approach . . . . . 1--19
Ricardo Quineche Consumption, Aggregate Wealth and
Expected Stock Returns: An FCVAR
Approach . . . . . . . . . . . . . . . . 21--42
Manas Tripathi and
Saurabh Kumar and
Sarveshwar Kumar Inani Exchange Rate Forecasting Using Ensemble
Modeling for Better Policy Implications 43--71
Hardik A. Marfatia Modeling House Price Synchronization
across the U.S. States and their
Time-Varying Macroeconomic Linkages . . 73--117
Anonymous Frontmatter . . . . . . . . . . . . . . i--ii
Richard Hunt and
Shelton Peiris and
Neville Weber A General Frequency Domain Estimation
Method for Gegenbauer Processes . . . . 119--144
Daniel González Olivares and
Isai Guizar Estimation of Continuous and Discrete
Time Co-integrated Systems with Stock
and Flow Variables . . . . . . . . . . . 145--186
William Becker and
Paolo Paruolo and
Andrea Saltelli Variable Selection in Regression Models
Using Global Sensitivity Analysis . . . 187--233
Daniel Ollech Seasonal Adjustment of Daily Time Series 235--264
Anonymous Frontmatter . . . . . . . . . . . . . . i--ii
Cleiton G. Taufemback and
Victor Troster and
Muhammad Shahbaz A Robust Test for Monotonicity in Asset
Returns . . . . . . . . . . . . . . . . 1--24
Chrysoula Dimitriou-Fakalou On a Different way of Understanding the
Edge-Effect for the Inference of
ARMA-type Processes (in $ Z^d $) . . . . 25--50
Alessandra Canepa Small Sample Adjustment for Hypotheses
Testing on Cointegrating Vectors . . . . 51--85
Aniela Fagundes Carrara and
Tiago Luiz Pesquero The Export of Commodities and the
Validity of the Export-Led Growth (ELG)
Hypothesis for the Brazilian Economy: an
Analysis of the Commodity Boom Period 87--106
Anonymous Frontmatter . . . . . . . . . . . . . . i--ii
Yacouba Boubacar Ma\"\inassara and
Abdoulkarim Ilmi Amir Goodness-of-Fit Tests for SPARMA Models
with Dependent Error Terms . . . . . . . 107--140
Yacouba Boubacar Ma\"\inassara and
Abdoulkarim Ilmi Amir Estimating SPARMA Models with Dependent
Error Terms . . . . . . . . . . . . . . 141--174
Manabu Asai and
Michael McAleer Multivariate Hyper-Rotated GARCH-BEKK 175--198
Gabriel Montes-Rojas Estimating Impulse-Response Functions
for Macroeconomic Models using
Directional Quantiles . . . . . . . . . 199--225
Anonymous Frontmatter . . . . . . . . . . . . . . i--ii
Gareth Liu-Evans Improving the Estimation and Predictions
of Small Time Series Models . . . . . . 1--26
Gan-Ochir Doojav and
Davaajargal Luvsannyam Forecasting Inflation in Mongolia: a
Dynamic Model Averaging Approach . . . . 27--48
Manabu Asai and
Mike K. P. So Realized BEKK-CAW Models . . . . . . . . 49--77
Hiroyuki Kawakatsu Simple Factor Realized Stochastic
Volatility Models . . . . . . . . . . . 79--110
Anonymous Frontmatter . . . . . . . . . . . . . . i--ii
Toshikazu Tayanagi and
Eiji Kurozumi In-Fill Asymptotic Distribution of the
Change Point Estimator when Estimating
Breaks One at a Time . . . . . . . . . . 111--149
Christian Gourieroux and
Joann Jasiak Temporally Local Maximum Likelihood with
Application to SIS Model . . . . . . . . 151--198
Anonymous Frontmatter . . . . . . . . . . . . . . i--ii
Yongdeng Xu Quasi Maximum Likelihood Estimation of
Vector Multiplicative Error Model using
the ECCC-GARCH Representation . . . . . 1--27
Alfan Mansur Commodity Price and Indonesian Fiscal
Policy: an SVAR Analysis with
Non-Gaussian Errors . . . . . . . . . . 29--66