This note investigates the spurious regression where each of the regressand and the regressor follows a random walk with zero, nonzero local, or nonzero constant drift. In the existing literature of spurious regression, both the regressand and regressor have zero or constant drifts. We consider...

We propose a new time series model where the threshold is specified as an empirical quantile of recent observations of a threshold variable. The resulting conditional threshold traces the fluctuation of the threshold variable, which can enhance the fit and interpretation of the model. In the...

Traditional tests of the white noise hypothesis on the residuals from estimated models can leadto size distortion if some parameters are weakly identified. This paper develops a bootstrappedwhite noise test for serial correlation that is robust to weak identification in the parameters. Weshow...

This paper presents a weighted optimization framework that unifies the binary, multivalued, and continuous treatment - as well as mixture of discrete and continuous treatment - under a unconfounded treatment assignment. With a general loss function, the framework includes the average, quantile,...

This paper presents a weighted optimization framework that unifies the binary, multi-valued, continuous, as well as mixture of discrete and continuous treatment, under unconfounded treatment assignment. With a general loss function, the framework includes the average, quantile and asymmetric...

This paper presents a weighted optimization framework that unifies the binary, multivalued, and continuous treatment—as well as mixture of discrete and continuous treatment—under a unconfounded treatment assignment. With a general loss function, the framework includes the average, quantile,...

The existing vector heterogeneous autoregression (VHAR) does not allow for threshold effects. The threshold autoregressions are well established in the literature, but the presence of an unknown threshold complicates inference. To resolve this dilemma, we propose the vector moving average...

This paper presents a bootstrapped p-value white noise test based on the maximum correlation, for a time series that may be weakly dependent under the null hypothesis. The time series may be prefiltered residuals. The test statistic is a normalized weighted maximum sample correlation...

It is well known that sluggish private investment plagued the Japanese macroeconomy during the Lost Decade. Previous empirical papers have not reached a clear consensus on what caused the investment slowdown. This paper sheds new light on this issue by fitting a mixed frequency vector...