This paper analyzes autoregressive time series models where the errors are assumed to be martingale difference sequences that satisfy an additional symmetry condition on their fourth-order moments. Under these conditions quasi maximum likelihood estimators of the autoregressive parameters are no longer efficient in the generalized method of moments (GMM) sense. The main result of the paper is the construction of efficient semiparametric instrumental variables estimators for the autoregressive parameters. The optimal instruments are linear functions of the innovation sequence.

It is shown that a frequency domain approximation of the optimal instruments leads to an estimator that only depends on the data periodogram and an unknown linear filter. Semiparametric methods to estimate the optimal filter are proposed.

The procedure is equivalent to GMM estimators where lagged observations are used as instruments. As a result of the additional symmetry assumption on the fourth moments the number of instruments is allowed to grow at the same rate as the sample. No lag truncation parameters are needed to implement the estimator, which makes it particularly appealing from an applied point of view.

Often neither the exact density nor the exact cumulative distribution function (c.d.f.) of a statistic of interest is available in the statistics and econometrics literature (e.g., the maximum likelihood estimator of the autocorrelation coefficient in a simple Gaussian AR(1) model with zero start-up value). In other cases the exact c.d.f. of a statistic of interest is very complicated despite the statistic being “simple” (e.g., the circular serial correlation coefficient, or a quadratic form of a vector uniformly distributed over the unit n-sphere). The first part of the paper tries to explain why this is the case by studying the analytic properties of the c.d.f. of a statistic under very general assumptions. Differential geometric considerations show that there can be points where the c.d.f. of a given statistic is not analytic, and such points do not depend on the parameters of the model but only on the properties of the statistic itself. The second part of the paper derives the exact c.d.f. of a ratio of quadratic forms in normal variables, and for the first time a closed form solution is found. These results are then specialized to the maximum likelihood estimator of the autoregressive parameter in a Gaussian AR(1) model with zero start-up value, which is shown to have precisely those properties highlighted in the first part of the paper.

The problem of statistical inference for the mean of a time series with possibly heavy tails is considered. We first show that the self-normalized sample mean has a well-defined asymptotic distribution. Subsampling theory is then used to develop asymptotically correct confidence intervals for the mean without knowledge (or explicit estimation) either of the dependence characteristics, or of the tail index. Using a symmetrization technique, we also construct a distribution estimator that combines robustness and accuracy: it is higher-order accurate in the regular case, while remaining consistent in the heavy tailed case. Some finite-sample simulations confirm the practicality of the proposed methods.

We consider the asymptotic behavior of log-periodogram regression estimators of the memory parameter in long-memory stochastic volatility models, under the null hypothesis of short memory in volatility. We show that in this situation, if the periodogram is computed from the log squared returns, then the estimator is asymptotically normal, with the same asymptotic mean and variance that would hold if the series were Gaussian. In particular, for the widely used GPH estimator [d with circumflex above]GPH under the null hypothesis, the asymptotic mean of m1/2[d with circumflex above]GPH is zero and the asymptotic variance is π2/24 where m is the number of Fourier frequencies used in the regression. This justifies an ordinary Wald test for long memory in volatility based on the log periodogram of the log squared returns.

We consider an additive model with second-order interaction terms. Both marginal integration estimators and a combined backfitting-integration estimator are proposed for all components of the model and their derivatives. The corresponding asymptotic distributions are derived. Moreover, two test statistics for testing the presence of interactions are proposed. Asymptotics for the test functions and local power results are obtained. Because direct implementation of the test procedure based on the asymptotics would produce inaccurate results unless the number of observations is very large, a bootstrap procedure is provided, which is applicable for small or moderate sample sizes. Further, based on these methods a general test for additivity is developed. Estimation and testing methods are shown to work well in simulation studies. Finally, our methods are illustrated on a five-dimensional production function for a set of Wisconsin farm data. In particular, the separability hypothesis for the production function is discussed.

We continue investigation of the ARCH(∞) model begun in Giraitis, Kokoszka, and Leipus (2000, Econometric Theory 16, 3–22). Nonrestrictive conditions for the existence of a strictly stationary solution are established. The paper generalizes the results of Nelson (1990, Econometric Theory 6, 318–334) and Bougerol and Picard (1992, Journal of Econometrics 52, 115–127) to the ARCH(∞) model.

Least squares estimation has casually been dismissed as an inconsistent estimation method for mixed regressive, spatial autoregressive models with or without spatial correlated disturbances. Although this statement is correct for a wide class of models, we show that, in economic spatial environments where each unit can be influenced aggregately by a significant portion of units in the population, least squares estimators can be consistent. Indeed, they can even be asymptotically efficient relative to some other estimators. Their computations are easier than alternative instrumental variables and maximum likelihood approaches.

We frequently observe that one of the aims of time series analysts is to predict future values of the data. For weakly dependent data, when the model is known up to a finite set of parameters, its statistical properties are well documented and exhaustively examined. However, if the model was misspecified, the predictors would no longer be correct. Motivated by this observation and because of the interest in obtaining adequate and reliable predictors, Bhansali (1974, Journal of the Royal Statistical Society, Series B 36, 61–73) examined the properties of a nonparametric predictor based on the canonical factorization of the spectral density function given in Whittle (1963, Prediction and Regulation by Linear Least Squares) and known as FLES.

However, the preceding work does not cover the so-called strongly dependent data. Because of the interest in this type of processes, one of our objectives in this paper is to examine the properties of the FLES for these processes. In addition, we illustrate how the FLES can be adapted to recover the signal of a strongly dependent process, showing its consistency. The proposed method is semiparametric in the sense that, in contrast to other methods, we do not need to assume any particular model for the noise except that it is weakly dependent.

This paper analyzes similar tests for structural change for the normal linear regression model in finite samples. Using the approach of Wald (1943, American Mathematical Society Transactions 54, 426–482), Hillier (1987, Econometric Theory 3, 1–44), Andrews and Ploberger (1994, Econometrica 62, 1382–1414), and Andrews, Lee, and Ploberger (1996, Journal of Econometrics 70, 9–36), we characterize a class of optimal similar tests for the existence of (possibly multiple) changepoints at unknown times. We extend the analysis of Andrews et al. (1996) by deriving weighted optimal similar tests for the case where the error variance is not known. We also show that when the sample size is large, the tests of Andrews et al. constructed by replacing the error variance with an estimate are equivalent to the optimal test derived in this paper. Power comparisons are provided by a small simulation study.

This paper proposes a notion of near cointegration and generalizes several existing results from the cointegration literature to the case of near cointegration. In particular, the properties of conventional cointegration methods under near cointegration are characterized, thereby investigating the robustness of cointegration methods. In addition, we obtain local asymptotic power functions of five cointegration tests that take cointegration as the null hypothesis.

This paper first provides some useful results on a generalized random coefficient autoregressive model and a generalized hidden Markov model. These results simultaneously imply strict stationarity, existence of higher order moments, geometric ergodicity, and β-mixing with exponential decay rates, which are important properties for statistical inference. As applications, we then provide easy-to-verify sufficient conditions to ensure β-mixing and finite higher order moments for various linear and nonlinear GARCH(1,1), linear and power GARCH(p,q), stochastic volatility, and autoregressive conditional duration models. For many of these models, our sufficient conditions for existence of second moments and exponential β-mixing are also necessary. For several GARCH(1,1) models, our sufficient conditions for existence of higher order moments again coincide with the necessary ones in He and Terasvirta (1999, Journal of Econometrics 92, 173–192).

It is well known that a one-step scoring estimator that starts from any N1/2-consistent estimator has the same first-order asymptotic efficiency as the maximum likelihood estimator. This paper extends this result to k-step estimators and test statistics for k ≥ 1, higher order asymptotic efficiency, and general extremum estimators and test statistics.

The paper shows that a k-step estimator has the same higher order asymptotic efficiency, to any given order, as the extremum estimator toward which it is stepping, provided (i) k is sufficiently large, (ii) some smoothness and moment conditions hold, and (iii) a condition on the initial estimator holds.

For example, for the Newton–Raphson k-step estimator based on an initial estimator in a wide class, we obtain asymptotic equivalence to integer order s provided 2k ≥ s + 1. Thus, for k = 1, 2, and 3, one obtains asymptotic equivalence to first, third, and seventh orders, respectively. This means that the maximum differences between the probabilities that the (N1/2-normalized) k-step and extremum estimators lie in any convex set are o(1), o(N−3/2), and o(N−3), respectively.

The measurement error problem that we consider in this paper is concerned with the situation where time series data of various kinds—short memory, long memory, and random walk processes—are contaminated by white noise. We suggest a unified approach to testing for the existence of such noise. It is found that the power of our test crucially depends on the underlying process.

In this paper, we consider a linear regression model when relevant regressors are omitted. We derive the explicit formulae for the predictive mean squared errors (PMSEs) of the Stein-rule (SR) estimator, the positive-part Stein-rule (PSR) estimator, the minimum mean squared error (MMSE) estimator, and the adjusted minimum mean squared error (AMMSE) estimator. It is shown analytically that the PSR estimator dominates the SR estimator in terms of PMSE even when there are omitted relevant regressors. Also, our numerical results show that the PSR estimator and the AMMSE estimator have much smaller PMSEs than the ordinary least squares estimator even when the relevant regressors are omitted.

In this paper we consider the moment structure of a class of first-order exponential generalized autoregressive conditional heteroskedasticity (GARCH) models. This class contains as special cases both the standard exponential GARCH model and the symmetric and asymmetric logarithmic GARCH model. Conditions for the existence of any arbitrary moment are given. Furthermore, the expressions for the kurtosis and the autocorrelations of positive powers of absolute-valued observations are derived. The properties of the autocorrelation structure are discussed and compared to those of the standard first-order GARCH process. In particular, it is seen that, contrary to the standard GARCH case, the decay rate of the autocorrelations of squared errors is not constant and that the rate can be quite rapid in the beginning, depending on the parameters of the model.

We provide a proof of the consistency and asymptotic normality of the estimator suggested by Heckman (1990, American Economic Review 80, 313–318) for the intercept of a semiparametrically estimated sample selection model. The estimator is based on “identification at infinity,” which leads to nonstandard convergence rate.

We study the asymptotic properties of the tests suggested by Choi and Ahn (1995, Econometric Theory 11, 952–983) in the case of a (nearly) improper normalization of the cointegration vectors. To overcome the size problems in such situations we suggest a test statistic that is based on the eigenvalues of a canonical correlation analysis. Using Monte Carlo simulations, the small sample properties of our test are compared to various other test statistics recently suggested in the literature.

In this paper we consider the problem of estimating a semiparametric partially linear model for dependent data with generated regressors. This type of model comes naturally from various econometric models such as a semiparametric rational expectation model when the surprise term enters the model nonparametrically, or a semiparametric type-3 Tobit model when the error distributions are of unknown forms, or a semiparametric error correction model. Using the nonparametric kernel method and under primitive conditions, we show that the [square root]n-consistent estimation results of the finite-dimensional parameter in a partially linear model can be generalized to the case of generated regressors with weakly dependent data. The regularity conditions we use are quite weak, and they are similar to those used in Robinson (1988, Econometrica 56, 931–954) for independent and observed data.

Standard methods for analyzing linear-latent variable models rely on the assumption that the observed variables are normally distributed. Normality allows statistical inferences to be carried out based solely on the first-and second-order moments. In general, inferences for nonnormally distributed data require the estimates of matrices of third-and fourth-order moments. In the present paper, we show that inferences based on normal theory retain validity and asymptotic efficiency under general assumptions that allow for considerable departure from normality. In particular, we obtain conditions under which correct asymptotic inferences are attained when replacing a matrix of higher order moments by a matrix that depends only on cross-product moments of the data.

We establish [square root]n-consistency and asymptotic normality of Han's (1987a, Journal of Econometrics 35, 191–209) estimator of the parameters characterizing the transformation function in a semiparametric transformation model. We verify a Vapnik–Cervonenkis (VC) condition for the parameterizations of Box and Cox (1964, Journal of the Royal Statistical Society, Series B 34, 187–200) and Bickel and Doksum (1981, Journal of the American Statistical Association 76, 296–311). The verification establishes the VC property for a class of sets generated by a nonlinear function of the transformation parameters. We also introduce a new class of rank estimators for these parameters. These estimators require only O(n2 logn) computations to evaluate the criterion function, compared to O(n4) computations for Han's estimator. We prove that these estimators are also [square root]n-consistent and asymptotically normal. A simulation study compares two of the new estimators to Han's estimator, the fully parametric estimator of Bickel and Doksum (1981), and the nonlinear two-stage least squares estimator of Amemiya and Powell (1981, Journal of Econometrics 17, 351–381).