This paper concerns the uniform inference for nonparametric series estimators in time-series applications. We develop a strong approximation theory of sample averages of serially dependent random vectors with dimensions growing with the sample size. The strong approximation is first proved for...

We propose using a permutation test to detect discontinuities in an underlying economic model at a known cutoff point. Relative to the existing literature, we show that this test is well suited for event studies based on time‐series data. The test statistic measures the distance between the...

This paper proposes a test for the conditional superior predictive ability (CSPA) of a family of forecast methods with respect to a benchmark. The test is functional in nature: Under the null hypothesis, the benchmark's conditional expected loss is no more than those of the competitors,...