reduced form. The analysis is applied in investigating the validity of the causal Markov condition. …

literature, this estimator is consistent, asymptotically normal and very stable across partitions of the sample. Further, we show … in an extensive simulation study that this estimator outperforms in finite samples the logs, blocks and runs estimation … methods. Finally, we apply this new estimator to test for clustering of extremes in monthly time series of unemployment growth …

Allowing for misspecification in the linear conditional quantile function, this paper provides a new interpretation and …–Bassett estimator minimizes a weighted distribution approximation error, defined as F Y (X ′ β(τ)|X)−τ , i.e., the deviation of the … conditional distribution function, evaluated at the linear quantile approximation, from the quantile level. The second result …