An IV approach, using as instruments nonlinear transformations of the lagged levels, is explored to test for unit roots in panels with general dependency and heterogeneity across cross-sectional units. We allow not only for the cross-sectional dependencies of innovations, but also for the presence of cointegration across cross-sectional levels. Unbalanced panels and panels with differing indivi...

This article proposes a simple estimator that is consistent for the fraction of a panel that has an autoregressive unit root. Given such an estimate, θ̂ , we can test the null hypothesis that θ = θ0 for any value of θ0 ∈ (0,1]. The test is asymptotically standard normal and is valid whether or not the panel is crosssectionally correlated. The main insight is that in a panel in which some units a...

It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is the stochastic volatility model. The researcher may test for non-stationarity of the volatility process by testing for a unit root in the log-squared time series. This strategy for inference has many advantages, but is n...

This chapter is concerned with forecasting univariate seasonal time series data using periodic autoregressive models We show how one should account for unit roots and deterministic terms when generating out of sample forecasts We illus trate the models for various quarterly UK consumption series This is the rst version July of a chapter that is to be prepared for potential inclusion in the Comp...

While there is good reason to expect crude oil production to be non-linear, previous studies that have examined the stochastic properties of crude oil production have assumed that crude oil production follows a linear process. If crude oil production is a non-linear process, conventional unit root tests, which assume linear and systematic adjustment, could interpret departure from linearity as ...

Exact prediction of Hemorrhagic fever with renal syndrome (HFRS) epidemics must improve to establish effective preventive measures in China. A Seasonal Autoregressive Integrated Moving Average (SARIMA) model was applied to establish a highly predictive model of HFRS. Meteorological factors were considered external variables through a cross correlation analysis. Then, these factors were included...

This paper constructs and estimates the demand for international tourism for the Italian Province of Sassari. The sample period under estimation is from 1972 to 1995. Three dynamic models are estimated at monthly, annual and quarterly data frequencies. Similarities and differences are explored amongst the three models, using recently developed econometric techniques. A “premodelling” data analy...

The Mahler measure of a polynomial is a measure of complexity formed by taking the modulus of the leading coefficient times the modulus of the product of its roots outside the unit circle. The roots of a real degree N polynomial chosen uniformly from the set of polynomials of Mahler measure at most 1 yields a Pfaffian point process on the complex plane. When N is large, with probability tending...