Trend models are important in describing nonstationary behavior of a time series. In this paper we propose valid tests for the trend coefficients in a multivariate system with mixed stationary, integrated or nearly integrated errors. Cross-sectional and serial dependence in innovations are left...

In this paper we consider the deterministic trend model where the error process is allowed to be weakly or strongly correlated and subject to nonstationary volatility. Extant estimators of the trend coefficient are analyzed. We find that under heteroskedasticity the Cochrane-Orcutt-type...

Nonstationarity of the volatility process reflects low-frequency volatility changes of an economic time series, and its theoretical and empirical relevance has been widely recognized. We investigate how it affects CUSUM-related tests for structural change in regression coefficients....

Understanding uncertainty in estimating risk measures is important in modern financial risk management. In this paper we consider a nonparametric framework that incorporates auxiliary information available in covariates, and propose a family of inferential methods for the value at risk, expected...

Testing for constant expected returns and forecasting future returns necessitate the information beyond a single predictor. We consider the predictive regression model with multiple predictors which are potentially strongly persistent and cointegrated. Instrumental variables based tests for...

Examination over multiple horizons has been a routine in testing asset return predictability in finance and macroeconomics. In a simple predictive regression model, we find that the popular scaled test for multiple-horizon predictability has zero null rejection rate if the forecast horizon...

We consider the regression discontinuity (RD) design with the duration outcome which has discrete support. The parameters of policy interest are treatment effects on unconditional (duration effect) and conditional (hazard effect) exiting probabilities for each discrete level. We propose a novel...

This paper provides a new approach to constructing confidence intervals for nonparametric drift and diffusion functions in the continuous-time diffusion model via empirical likelihood (EL). The log EL ratios are constructed through the estimating equations satisfied by the local linear...

This article studies tests for multivariate deterministic trend coefficients when the volatility process is nonstationary. Within a quite general framework we analyze four classes of tests based on least squares estimation, one of which is robust to both weak serial correlation and nonstationary...