We introduce a robust estimator of the location parameter for the change‐point in the mean based on Wilcoxon statistic and establish its consistency for near‐epoch dependent processes. It is shown that the consistency rate depends on the magnitude of the change. A simulation study is...

We study robustness of the model of demand driven innovation and spatial competition over time with log-concavely distributed signals in Jovanovic and Rob (1987) to heavy-tailedness assumptions. We demonstrate that implications of the model remain valid for not extremely heavy-tailed...

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly...

In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly...