A simple construction that will be referred to as an error-duration model is shown to generate
fractional integration and long memory. An error-duration representation also exists for …

… Other applications include estimating a linear reduction of an otherwise nonlinear least
squares estimation problem [Durbin (1960), Wallis (1967)], pooling time series and cross …

The simplest variance-bounds inequality says that the price of stock should be less volatile
than the present value of actual future dividends, assuming that the former can be taken to …

… WIL LIAM R. PARKE is associate professor of economics at the University of North Carolina.
… Since the Issue Department was run entirely by r and the Banking Department operated …

While ARCH/GARCH equations have been widely used to model financial market data,
formal explanations for the sources of conditional volatility are scarce. This paper presents a …

This paper presents a numerical algorithm for computing full information maximum likelihood
(FIML) and nonlinear three-stage least squares (3SLS) coefficient estimates for large …

… has recently been developed by one of the authors [Parke (… using the algorithm described
in Parke (forthcoming). … Parke, William R., forthcoming, An algorithm for FIML and 3SLS …

Many of the options in this program can be ignored for beginning users. The best way to learn
the program is 1) read the “Key Things to Know” material in this Preface, 2) read Chapter 1…

This paper develops asymptotic prediction functions that approximate the shape of the density
of future observations and correct for parameter uncertainty. The functions are based on …

In this paper we consider the problem of generating multi-period predictions from two
simple dynamic models, an autoregressive model and a geometric random walk. The …