theory but rather base the decision of the lag structure on a robust Lagrange Multiplier test. In contrast to U.S. data we …

regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate …

problem of online estimation of current values of w = w(T) and a = a(T) from the observations SI , ... ,ST. We propose an … adaptive method of estimation which does not use any information about time homogeneity of the obscured process. We apply this …

series with a zero spectral density at some frequency. Estimation and inference can be performed using an Instrumental … an analysis of the comovement between Germany, Austria and the United Kingdom is presented. -- common feature analysis …

econometric performance of regime-switching models for interest rate data from the US, Germany and the UK. There is strong …