This paper establishes stochastic equicontinuity for classes of mixingales. Attention is restricted to Lipschitz-continuous parametric functions. Unlike some other empirical process theory for dependent data, our results do not require bounded functions, stationary processes, or restrictive...

In the context of testing for a unit root in a univariate time series, the convention is to ignore information in related time series. This paper shows that this convention is quite costly, as large power gains can be achieved by including correlated stationary covariates in the regression...

This article reviews David Hendry's Econometrics: Alchemy or Science?

This paper develops an asymptotic theory of inference for a two-regime threshold autoregressive (TAR) model with an autoregressive root which is local-to-unity. We find that the asymptotic null distribution of the Wald test for a threshold is non-standard and mildly dependent on the...

A distribution theory is developed for least squares estimates of the threshold in threshold autoregressive (TAR) models. We find that if we let the threshold effect (the difference in slopes between the two regimes) get small as the sample size increases, then the asymptotic distribution of the...

This note corrects an error in Hansen, Journal of Applied Econometrics (1992)

In recent years there has been rapidly growing interest in the implications of altruistic preferences for economic behavior. Undoubtedly most of this interest is fueled by altruism's often pivotal role in economic models and policy issues. Yet there is also an emerging consensus that empirical...

Threshold models have a wide variety of applications in economics. Direct applications include models of separating and multiple equilibria. Other applications include empirical sample splitting when the sample split is based on a continuously-distributed variable such as firm size. In addition,...

In the past decade, we have seen the development of a new set of tests for structural change of unknown timing in regression models, most notably the SupF statistic of Andrews (1993), the ExpF and AveF statistics of Andrews-Ploberger (1994), and the L statistic of Nyblom (1989). The distribution...

Threshold regression methods are developed for non-dynamic panels with individual-specific fixed effects. Least squares estimation of the threshold and regression slopes is proposed using fixed-effects transformations. A non-standard asymptotic theory of inference is developed which allows...