In this note we consider the treatment of structural breaks in VAR models used to test for unit roots and cointegration. We give practical guidelines for the inclusion and the specification of intervention dummies in those models. JEL Classification Code: C32, C52, E43.

We establish the validity of subsampling confidence intervals for the mean of a dependent series with heavy-tailed marginal distributions. Using point process theory, we study both linear and nonlinear GARCH-like time series models. We propose a data-dependent method for the optimal block size selection and investigate its performance by means of a simulation study. JEL CLASSIFICATION NOS: C10,...

This note solves the puzzle of estimating degenerate Wishart Autoregressive processes, introduced by Gourieroux, Jasiak and Sufana (2009) to model multivariate stochastic volatility. It derives the asymptotic and empirical properties of the Method of Moment estimator of the Wishart degrees of freedom subject to different stationarity assumptions and specific distributional settings of the under...

This paper suggests a bootstrap testing procedure for determining the rank of cointegrated systems. The properties of the new testing procedure are investigated using Monte Carlo techniques. The performance of the test compares favourably to that of the widely used procedures for determining cointegration rank proposed by Johansen (1988). JEL classi cation: C12; C15; C32.

This paper specifies two VAR models for testing efficiency and expectations in foreign exchange markets. The sufficient conditions for efficiency and rational expectations, by imposing restrictions on the VAR parameters, are derived. Based on these models, issues on testing efficiency and rationality are discussed with reference to previous empirical studies in the area.  2002 Elsevier Science...

This note provides a proof of Granger's (1986) error correction model for fractionally cointegrated variables and points out a necessary assumption that has not been noted before. Moreover, a simpler, alternative error correction model is proposed which can be employed to estimate fractionally cointegrated systems in three steps. JEL Classification Code: C32

Recent work in the macroeconometric literature considers the problem of summarising efficiently a large set of variables and using this summary for a variety of purposes including forecasting. This paper applies a new factor extraction method to the extraction of core inflation and forecasting of UK inflation in the recent past. JEL Codes:C13, C32

It is well-know that estimation by reduced rank regression is given by the solution to a generalized eigenvalue problem. This paper presents a new proof to establish this result and provides additional insight into the structure of the estimation problem. The proof is a direct algebraic proof that some might find more intuitive than existing proofs. JEL Classification: C3, C32