All Stories

  1. Testing for Changes in Forecasting Performance
  2. Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors
  3. On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
  4. Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
  5. Forecasting return volatility: Level shifts with varying jump probability and mean reversion
  6. Detection and attribution of climate change through econometric methods
  7. Statistically derived contributions of diverse human influences to twentieth-century temperature changes
  8. A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS
  9. A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices
  10. Estimating and testing multiple structural changes in linear models using band spectral regressions
  11. MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
  12. Comparisons of robust tests for shifts in trend with an application to trend deviations of real exchange rates in the long run
  13. A Time-Series Analysis of the 20th Century Climate Simulations Produced for the IPCC’s Fourth Assessment Report
  14. Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices
  15. A note on estimating a structural change in persistence
  16. WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE
  17. Testing for Trend in the Presence of Autoregressive Error: A Comment
  18. Royal Economic Society Annual Conference 2009
Special Issue on Factor Models: Theoretical and Applied Perspectives
  19. On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance
  20. Testing for Multiple Structural Changes in Cointegrated Regression Models
  21. A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component
  22. Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
  23. Modeling and forecasting stock return volatility using a random level shift model
  24. GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES
  25. Let's take a break: Trends and cycles in US real GDP
  26. Estimating deterministic trends with an integrated or stationary noise component
  27. Testing for Shifts in Trend With an Integrated or Stationary Noise Component
  28. Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
  29. Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
  30. The limit distribution of the estimates in cointegrated regression models with multiple structural changes
  31. DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION
  32. THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
  33. A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change
  34. A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION
  35. Estimating and Testing Structural Changes in Multivariate Regressions
  36. A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
  37. A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend
  38. Estimating restricted structural change models
  39. Multiple Structural Change Models: A Simulation Analysis
  40. Structural breaks with deterministic and stochastic trends
  41. THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK
  42. A Note on the Selection of Time Series Models
  43. Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework
  44. GLS detrending, efficient unit root tests and structural change
  45. Critical values for multiple structural change tests
  46. SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*
  47. Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1)
  48. Computation and analysis of multiple structural change models
  49. LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
  50. Asymptotic approximations in the near‐integrated model with a non‐zero initial condition
  51. A look at the quality of the approximation of the functional central limit theorem
  52. Unit roots in the presence of abrupt governmental interventions with an application to Brazilian data
  53. Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time
  54. AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS
  55. Estimating and Testing Linear Models with Multiple Structural Changes
  56. Further evidence on breaking trend functions in macroeconomic variables
  57. Estimation and inference in nearly unbalanced nearly cointegrated systems
  58. THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN
  59. Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
  60. The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
  61. An Analysis of the Real Interest Rate Under Regime Shifts
  62. The effect of linear filters on dynamic time series with structural change
  63. Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
  64. Approximations to some exact distributions in the rrasr orderautoregressive model with dependenterrors
  65. Local asymptotic distribution related to the AR(1) model with dependent errors
  66. The HUMP-Shaped Behavior of Macroeconomic Fluctuations
  67. A Note on Johansen’s Cointegration Procedure when Trends are Present
  68. The HUMP-shaped behavior of macroeconomic fluctuations
  69. A note on Johansen's cointegration procedure when trends are present
  70. The effect of seasonal adjustment filters on tests for a unit root
  71. Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions
  72. Testing for a Unit Root in a Time Series With a Changing Mean: Corrections and Extensions
  73. Nonstationarity and Level Shifts With an Application to Purchasing Power Parity
  74. Nonstationarity and Level Shifts with an Application to Purchasing Power Parity
  75. The limiting distribution of the least‐squares estimator in nearly integrated seasonal models
  76. Racines unitaires en macroéconomie : le cas d’une variable
  77. Test Consistency with Varying Sampling Frequency
  78. A Continuous Time Approximation to the Stationary First-Order Autoregressive Model
  79. A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
  80. Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots
  81. Testing for a Unit Root in a Time Series With a Changing Mean
  82. Testing for a Unit Root in a Time Series with a Changing Mean
  83. The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
  84. The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model
  85. Testing for a Random Walk: A Simulation Experiment of Power When the Sampling Interval is Varied
  86. Trends and random walks in macroeconomic time series
  87. Testing for a unit root in time series regression
  88. Does GNP have a unit root?
  89. Testing the random walk hypothesis
  90. structural change, econometrics of
  91. A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component
  92. A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices
  93. Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends