We propose a nonparametric approach to the estimation and testing of structural change in time series regression models. Under the null of a given set of the coefficients being constant, we develop estimators of both the nonparametric and parametric components. Given the estimators under null...

The literature on spurious regressions has found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes for the dependent and explanatory variables. This paper...

In this paper we investigate the effects of careful modelling the long-run dynamics of the volatil- ities of stock market returns on the conditional correlation structure. To this end we allow the individual unconditional variances in Conditional Correlation GARCH models to change smoothly over...

This article extends the analysis of local power of unit root tests in a nonlinear direction by considering local nonlinear alternatives and tests built specifically against stationary nonlinear models. In particular, we focus on the popular test proposed by Kapetanios et al. (2003, Journal of...

Detection turning points in unimodel has various applications to time series which have cyclic periods. Related techniques are widely explored in the field of statistical surveillance, that is, on-line turning point detection procedures. This paper will first present a power controlled turning...

A problem encountered in some empirical research, e.g. growth empirics, is that the potential number of explanatory variables is large compared to the number of observations. This makes it infeasible to condition on all variables in order to determine whether a particular variable has an effect....

This paper proposes a sequential procedure to determine the common cointegration rank of panels of cointegrated VARs. It shows how a panel of cointegrated VARs can be transformed in a set of independent individual models. The likelihood function of the transformed panel is the sum of the...

Out-of-sample tests of forecast performance depend on how a given data set is split into estimation and evaluation periods, yet no guidance exists on how to choose the split point. Empirical forecast evaluation results can therefore be difficult to interpret, particularly when several values of...

We consider hypothesis testing in a general linear time series regression framework when the possibly fractional order of integration of the error term is unknown. We show that the approach suggested by Vogelsang (1998a) for the case of integer integration does not apply to the case of...

We examine the joint predictability of return and cash flow within a present value framework, by imposing the implications from a long-run risk model that allow for both time-varying volatility and volatility uncertainty. We provide new evidence that the expected return variation and the...