In this paper, we apply the wavelet methods in the popular Augmented Dickey-Fuller and M types of unit root tests. Moreover, we provide an extensive comparison of the wavelet based unit root tests which also includes the recent contributions in the literature. Moreover, we derive the asymptotic...

A multivariate, non-Bayesian, regression-based, or feasible generalized least squares (GLS)-based approach is proposed to estimate time-varying VAR parameter models. Although it has been known that the Kalman-smoothed estimate can be alternatively estimated using GLS for univariate models, we...

This article presents a robust augmented Kalman filter that extends the data-cleaning filter (Masreliez and Martin, 1977) to the general state space model featuring nonstationary and regression effects. The robust filter shrinks the observations towards their one-step-ahead prediction based on...

Quarterly GDP figures usually are published with a delay of some weeks. A common way to generate GDP series of higher frequency, i.e. to nowcast GDP, is to use available indicators to calculate a single index by means of a common factor derived from a dynamic factor model (DFM). This paper deals...

Empirical volatility studies have discovered nonstationary, long-memory dynamics in the volatility of the stock market and foreign exchange rates. This highly persistent, infinite variance - but still mean reverting - behavior is commonly found with nonparametric estimates of the fractional...