The fast double bootstrap can improve considerably on the single bootstrap when the bootstrapped statistic is approximately independent of the bootstrap DGP. This is because, among the approximations that underlie the fast double bootstrap (FDB), is the assumption of such independence. In this...

We suggest a new method dealing with the problem of endogeneity of the threshold variable in single regression threshold models and seemingly unrelated systems of them based on copula theory. This theory enables us to relax the assumption that the threshold variable is normally distributed and...

This paper focuses on two applications of time series methods. The first proposes a simple transformation of the unit root form of stationary testing to infer about the validity of smoothing by second-order running averages of a series, or of the variables in a linear model (here opposing...

The present paper studies the panel data auto regressive (PAR) time series model for testing the unit root hypothesis. The posterior odds ratio (POR) is derived under appropriate prior assumptions and then empirical analysis is carried out for testing the unit root hypothesis of Net Asset Value...

We consider estimation and inference in fractionally integrated time series models driven by shocks which can display conditional and unconditional heteroskedasticity of unknown form. Although the standard conditional sum-of-squares (CSS) estimator remains consistent and asymptotically normal in...

The purpose of this paper is to investigate the tests of Hansen (1991) to detect structural breaks in cointegrated relations using Monte Carlo methods. The evaluation takes place within the linear quadratic model. The evidence for a single regressor suggests that the test have proper size and...

In this paper we examine tests for cointegration which allow for the possibility of regime shifts. We propose augmented Dickey-Fuller (ADF) and Phillips type tests designed to test the null of no cointegration against the alternative of cointegration in the presence of a possible regime shift....

This paper proposes two simple tests that are based on certain time domain properties of I(d) processes. First, if a time series follows an I(d) process, then each subsample of the time series also follows an I(d) process with the same value of d. Second, if a time series follows an I(d)...

Moment restriction semiparametric models, where both the dimension of parameter and the number of restrictions are divergent and an unknown function is involved, are studied using the generalized method of moments (GMM) and sieve method dealing with the nonparametric parameter. The consistency...

We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal and cross-sectional dependency in covariates and error processes, covering rather general forms of weak dependence. A sequence of large-scale regressions with LASSO is applied to...