This paper proves consistency and asymptotic normality for the conditional-sum-of-squares estimator, which is equivalent to the conditional maximum likelihood estimator, in multivariate fractional time series models. The model is parametric and quite general, and, in particular, encompasses the...

The paper introduces the model confidence set (MCS) and applies it to the selection of models. A MCS is a set of models that is constructed such that it will contain the best model with a given level of confidence. The MCS is in this sense analogous to a confidence interval for a parameter. The...

A modification of the self-perturbed Kalman filter of Park and Jun (1992) is proposed for the on-line estimation of models subject to parameter instability. The perturbationterm in the updating equation of the state covariance matrix is weighted by the measurement error variance, thus avoiding...

We examine sentiment variables as new predictors for US recessions. We combine sentiment variables with either classical recession predictors or with common factors based on a large panel of macroeconomic and ?nancial variables. Sentiment variables hold vast predictive power for US recessions in...

We construct daily house price indices for ten major U.S. metropolitan areas. Our calculations are based on a comprehensive database of several million residential property transactions and a standard repeat-sales method that closely mimics the methodology of the popular monthly Case-Shiller...

A two-stage forecasting approach for long memory time series is introduced. In the first step we estimate the fractional exponent and, applying the fractional differencing operator, we obtain the underlying weakly dependent series. In the second step, we perform the multi-step ahead forecasts...

We propose a parametric state space model with accompanying estimation and forecasting framework that combines long memory and level shifts by decomposing the underlying process into a simple mixture model and ARFIMA dynamics. The Kalman filter is used to construct the likelihood function after...

In this paper, we propose a locally linear estimation of a regression discontinuity model. The proposed estimator is applicable to evaluation of the effectiveness of the program treatment, and it improves upon the existing literature by providing not just the treatment effect at discontinuity...

We explore intraday transaction records from NASDAQ OMX Commodities Europe from January 2006 to October 2013. We analyze empirical results for a selection of existing realized measures of volatility and incorporate them in a Realized GARCH framework for the joint modeling of returns and realized...

This paper applies three universal approximators for forecasting. They are the Artificial Neural Networks, the Kolmogorov-Gabor polynomials, as well as the Elliptic Basis Function Networks. Even though forecast combination has a long history in econometrics focus has not been on proving loss...