This paper proposes a novel semiparametric time-varying model for long-horizon predictive regressions in which the coefficients are allowed to change over time with unspecified functional forms. A linear projection method is employed to deal with the embedded endogeneity issue. We pursue an...

In this paper we construct simultaneous confidence bands for a smooth curve using penalized spline estimators. We consider three types of estimation methods: (i) as a standard (fixed effect) nonparametric model, (ii) using the mixed model framework with the spline coefficients as random effects...

This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...