importance of both choice of forecast or simulation horizon and choice between minimizing point or distribution based loss … measures. Our empirical analysis centers around the implementation of a series of simulation and prediction experiments, as … in setting U.S. monetary policy, and our simulation experiments are based on a comparison of simulated and historical …

in the current paper, it turns out that using the Bartlett kernel in the long-run variance estimation renders the most …

This paper studies the robust estimation and inference of threshold models with integrated regressors. We derive the …

density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters … turn facilitating consistent estimation of jump diffusion models. A "self excitement" test is also introduced, which is …

economics. With increased computation power and advanced simulation techniques, random-coefficient models have gained an …