has just barely infinite variance, since this case is relevant to econometrics applications that involve high …

strategies that combine econometrics and machine learning when conducting forecasts with new big data sources. Specifically … reduction strategies and traditional econometrics approaches in forecast accuracy, there are further significant gains from …

This paper compares the power in small samples of different tests for conditional heteroscedasticity. Two new tests …

In this text, we review recent developments in econometrics from the viewpoint of statistical test theory. We first … identification problems may be present; (2) the construction of tests for nonparametric hypotheses, including procedures robust to … heteroskedasticity, non-normality or dynamic specification. We point out that these difficulties often originate from the ambition to …