Normality testing is an evergreen topic in statistics and econometrics and other disciplines. The paper focuses on testing economic time series for normality in a robust way, taking specific data features such as serial dependence and time-varying volatility into account. Here, we suggest tests...

We propose a monitoring procedure to detect a structural change from stationary to integrated behavior. When the procedure is applied to the errors of a relationship between integrated series it thus monitors a structural change from a cointegrating relationship to a spurious regression. The...

The topic of this paper is the estimation uncertainty of the Stock-Watson and Gonzalo-Granger permanent-transitory decompositions in the framework of the co-integrated vector autoregression. We suggest an approach to construct the confidence interval of the transitory component estimate in a...

Several formal methods have been proposed to check identification in DSGE models via (i) the autocovariogram (Iskrev 2010), (ii) the spectral density (Komunjer and Ng 2011; Qu and Tkachenko 2012), or (iii) Bayesian indicators (Koop et al 2012). Even though all methods seem similar, there has been no...

Mixed-data sampling (MIDAS) regressions allow to estimate dynamic equations that explain a low-frequency variable by high-frequency variables and their lags. To account for temporal instabilities in this relationship, this paper discusses an extension to MIDAS with time-varying parameters, which...

Mixed-data sampling (MIDAS) regressions allow to estimate dynamic equations that explain a low-frequency variable by high-frequency variables and their lags. To account for temporal instabilities in this relationship, this paper discusses an extension to MIDAS with time-varying parameters, which...

We propose a monitoring procedure to detect a structural change from stationary to integrated behavior. When the procedure is applied to the errors of a relationship between integrated series it thus monitors a structural change from a cointegrating relationship to a spurious regression. The...

The topic of this paper is the estimation uncertainty of the Stock-Watson and Gonzalo-Granger permanent-transitory decompositions in the framework of the co-integrated vector autoregression. We suggest an approach to construct the confidence interval of the transitory component estimate in a...

Several formal methods have been proposed to check identification in DSGE models via (i) the autocovariogram (Iskrev 2010), (ii) the spectral density (Komunjer and Ng 2011; Qu and Tkachenko 2012), or (iii) Bayesian indicators (Koop et al 2012). Even though all methods seem similar, there has been no...