This paper focuses on the estimation and testing of multiple breaks that occur at unknown dates in multivariate long memory time series regression models, allowing for fractional cointegration. A likelihood-ratio based approach for estimating the breaks in the parameters and in the covariance of...

Publication practices in the social sciences act as a filter that favors statistically significant results over null findings. While the problem of selection on significance (SoS) is well-known in theory, it has been difficult to measure its scope empirically, and it has been challenging to...