Testing for parameter instability and structural change in persistent predictive regressions (Q2106367): Difference between revisions

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+The Distribution of Realized Exchange Rate Volatility
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+Modeling and Forecasting Realized Volatility
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+SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS
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+Consistent inference for predictive regressions in persistent economic systems
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+Tests for Parameter Instability and Structural Change With Unknown Change Point
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+Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
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+Estimating and Testing Linear Models with Multiple Structural Changes
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+Econometric Theory and Practice
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+Bootstrapping structural change tests
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+Q3947020
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+Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression
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+Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
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+Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
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+Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
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+Long memory and regime switching
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+Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis
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+Local polynomial Whittle estimation of perturbed fractional processes
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+Testing for parameter instability in predictive regression models
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+Spurious regressions in econometrics
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+Testing for structural change in conditional models
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+Structural changes in the cointegrated vector autoregressive model
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+Testing for structural change in a long-memory environment
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+Testing for independence between two covariance stationary time series
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+Gaussian pseudo-maximum likelihood estimation of fractional time series models
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+Optimal Inference in Regression Models with Nearly Integrated Regressors
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+Testing for Multiple Structural Changes in Cointegrated Regression Models
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+Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
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+A semiparametric two-step estimator in a multivariate long memory model
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+Estimation and inference in nearly unbalanced nearly cointegrated systems
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+Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models
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+Fully modified narrow‐band least squares estimation of weak fractional cointegration
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+Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
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+Selection of estimation window in the presence of breaks
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+Forecasting Time Series Subject to Multiple Structural Breaks
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+Understanding spurious regressions in econometrics
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+Predictive regression under various degrees of persistence and robust long-horizon regression
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+Convergence of stochastic processes
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+Gaussian semiparametric estimation of long range dependence
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+A GENERALIZED PORTMANTEAU TEST FOR INDEPENDENCE BETWEEN TWO STATIONARY TIME SERIES
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+EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
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+The spurious regression of fractionally integrated processes
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+ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS
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+Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
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