3 papers
econ.EM2026
Testing the order of fractional integration when smooth deterministic trends are possibly present
Mustafa R. Kılınç, Michael Massmann
This paper introduces a test for fractional integration in a model that possibly contains smooth deterministic trends. We model the trend component using a Chebyshev polynomial and…
econ.EM2026
The modified conditional sum-of-squares estimator for fractionally integrated models
Mustafa R. Kılınç, Michael Massmann
In this paper, we analyse the influence of estimating a constant term on the bias of the conditional sum-of-squares (CSS) estimator in a stationary or non-stationary type-II ARFIMA…
econ.EM2025
Least squares estimation in nonstationary nonlinear cohort panels with learning from experience
Alexander Mayer, Michael Massmann
We discuss techniques of estimation and inference for nonstationary nonlinear cohort panels with learning from experience, showing, inter alia, the consistency and asymptotic norma…