This paper proposes an estimator that accounts for time variation in a regression relationship with stochastic regressors exhibiting long-range dependence, covering weak fractional cointegration as a special case. An interesting application of this estimator is its ability to handle situations...

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...

This paper makes several important contributions to the literature about nonparametric instrumental variables (NPIV) estimation and inference on a structural function h0 and its functionals. First, we derive sup-norm convergence rates for computationally simple sieve NPIV (series 2SLS)...