For a time series generated by polynomial trend with stationary long-memory errors, the ordinary least squares estimator (OLSE) of the trend coefficients is asymptotically normal, provided the error process is linear. The asymptotic distribution may no longer be normal, if the error is in the...

We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes. The new method, denoted as Markov-switching three-pass...

We provide a new definition of breakdown in finite samples with an extension to asymptotic breakdown. Previous definitions center around defining a critical region for either the parameter or the objective function. If for a particular outlier constellation the critical region is entered,...

This "Festschrift" is published to honour the academic career of Hans Schneeweiß, who celebrates his 65th birthday in Spring 1998. The individual chapters contain contributions by his friends and colleagues to the areas in which he himself has excelled and stimulated further research....