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11/29/2021
The Fixed-b Limiting Distribution and the ERP of HAR Tests Under Nonstationarity
We show that the nonstandard limiting distribution of HAR test statistic...
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06/03/2021
Change-Point Analysis of Time Series with Evolutionary Spectra
This paper develops change-point methods for the spectrum of a locally s...
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03/04/2021
Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models
We develop a theory of evolutionary spectra for heteroskedasticity and a...
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03/03/2021
Minimax MSE Bounds and Nonlinear VAR Prewhitening for Long-Run Variance Estimation Under Nonstationarity
We establish new mean-squared error (MSE) bounds for long-run variance (...
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03/02/2021
Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference
We establish theoretical and analytical results about the low frequency ...
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02/26/2021
Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings
We consider the derivation of data-dependent simultaneous bandwidths for...
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05/10/2018
Structural Breaks in Time Series
This chapter covers methodological issues related to estimation, testing...
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04/01/2018
Continuous Record Laplace-based Inference about the Break Date in Structural Change Models
Building upon the continuous record asymptotic framework recently introd...
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03/29/2018
Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework
We develop a novel continuous-time asymptotic framework for inference on...
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03/28/2018
Continuous Record Asymptotics for Structural Change Models
For a partial structural change in a linear regression model with a sing...
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03/28/2018