This paper investigates the asymptotic properties of the ordinary least squares (OLS) estimator of structural parameters in a stylised macroeconomic model in which agents are boundedly rational and use an adaptive learning rule to form expectations of the endogenous variable. In particular, when...

This paper will outline the functionality available in the CovRegpy package for actuarial practitioners, wealth managers, fund managers, and portfolio analysts written in Python 3.7. The major contributions of CovRegpy can be found in the CovRegpy_DCC.py, CovRegpy_IFF.py, CovRegpy_RCR.py,...

This paper proposes a new test for a large set of zero restrictions in regression models based on a seemingly overlooked, but simple, dimension reduction technique. The procedure involves multiple parsimonious regression models where key regressors are split across simple regressions. Each...

The topic of this chapter is forecasting with nonlinear models. First, a number of well-known nonlinear models are introduced and their properties discussed. These include the smooth transition regression model, the switching regression model whose univariate counterpart is called threshold...

By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...

In this paper, we discuss and compare empirically various ways of computing multistep quantile forecasts of demand, with a special emphasis on the use of the quantile regression methodology. Such forecasts constitute a basis for production planning and inventory management in logistic systems...

We define the nagging predictor, which, instead of using bootstrapping to produce a series of i.i.d. predictors, exploits the randomness of neural network calibrations to provide a more stable and accurate predictor than is available from a single neural network run. Convergence results for the...