We consider robust inference for an autoregressive parameter in a stationary autoregressive model with GARCH innovations when estimation is based on least squares estimation. As the innovations exhibit GARCH, they are by construction heavy-tailed with some tail index $\kappa$. The rate of...

Romer (1993) posits openness to international restricts inflation. He offers an explanation based on time-inconsistency of monetary policy, however ensuing studies have raised questions on the validity of Romer’s assertion and its explanation. The aim of this paper was to estimate the effect...

In this paper, we extend Bai and Perron’s (1998, Econometrica, p.47-78) framework for multiple break testing to linear models estimated via Two Stage Least Squares (2SLS). Within our framework, the break points are estimated simultaneously with the regression parameters via minimization of the...

We complement the theory developed in Preinerstorfer and Pötscher (2016) with further finite sample results on size and power of heteroskedasticity and autocorrelation robust tests. These allow us, in particular, to show that the sufficient conditions for the existence of size-controlling...

A fully-fledged alternative to Two-Stage Least-Squares (TSLS) inference is developed for general linear models with endogenous regressors. This alternative approach does not require the adoption of external instrumental variables. It generalizes earlier results which basically assumed all...

In this study, we compare the Hodrick-Prescott Filter technique concerning the Fractional filtering technique, which has recently started to be used in various applied sciences, i.e., physics, engineering, and biology. We apply these filtering techniques to the quarterly GDP data of Turkey,...

In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both in-sample and out-of-sample analyses. The theoretical underpinning of these results relies on the...

In this paper we study international linkages when forecasting unemployment rates in a sample of 24 OECD economies. We propose a Global Unemployment Factor (GUF) and test its predictive ability considering in-sample and out-of-sample exercises. Our main results indicate that the predictive...

We introduce a new time series model for public consumption expenditure, tax revenues and real income that is capable to incorporate oscillations characterized by asymmetric phase and duration (or dynamic asymmetry). A specific-to-general econometric strategy is implemented in order to exclude...

In the literature, there are no nonlinear wavelet-based unit root tests with structural breaks. To fill this gap in the literature, this study proposes new wavelet-based unit root tests that take into account nonlinearity and structural breaks. According to Monte Carlo simulations results, the...