It is well known that for continuous time models with a linear drift standard estimation methods yield biased estimators for the mean reversion parameter both in …nite discrete samples and in large in-…ll samples. In this paper, we obtain two expressions to approximate the bias of the least squares/maximum likelihood estimator of the mean reversion parameter in the Ornstein-Uhlenbeck process wi...

This paper aims to examine whether a bubble is present in the housing market of China. Thus, we use the housing price-to-income ratios and housing price-to-rent ratios of 35 cities from 1998 to 2010. The methods of the panel KSS unit root test with a Fourier function and the SPSM process are likewise used. The panel KSS unit root test with a Fourier function considers the problem of non-lineari...

The effects of colonisation of roots by arbuscular mycorrhizal fungi (AMF) on soil respiration, plant growth, nutrition, and soil microbial communities were assessed using a mycorrhiza-defective tomato (Solanum lycopersicum L.) mutant and its mycorrhizal wild-type progenitor. Plants were grown in rhizocosms in an automated respiration monitoring system over the course of the experiment (79 days...

In a recent paper, Dolado, Gonzalo and Mayoral (2002) introduce a fractional Dickey-Fuller (FD-F) t-statistic for testing a unit root against the alternative of a mean reverting fractional unit root process. This t-statistic is based on the assumption that the errors are unconditionally homoskedastic. However, Busetti and Taylor (2003), McConnell and Perez-Quiros (2000), and van Dijk et al. (20...